TY - JOUR
T1 - Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity
AU - Kabašinskas, Audrius
AU - Rachev, Svetlozar T.
AU - Sakalauskas, Leonidas
AU - Sun, W. E.I.
AU - Belovas, Igoris
N1 - Funding Information:
Rachev’s research was supported by grants from Division of Mathematical, Life and Physical Sciences, College of Letters and Science, University of California, Santa Barbara and the Deutschen Forschungsgemeinschaft.
Publisher Copyright:
© 2010 EUDOXUS PRESS, LLC.
PY - 2010
Y1 - 2010
N2 - The paper provides some analysis solutions for financial return series exhibiting short histories and periods of strong passivity. The mixed-stable law is used to fit the forex data and the self-similarity analysis is made as well. The power-corelation measure is used to describe the relation between the presented series.
AB - The paper provides some analysis solutions for financial return series exhibiting short histories and periods of strong passivity. The mixed-stable law is used to fit the forex data and the self-similarity analysis is made as well. The power-corelation measure is used to describe the relation between the presented series.
KW - Forex volatility
KW - Mixed-stable model
KW - Passivity
KW - Power-corelation measures
UR - http://www.scopus.com/inward/record.url?scp=77954647281&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:77954647281
VL - 12
JO - Journal of Computational Analysis and Applications
JF - Journal of Computational Analysis and Applications
SN - 1521-1398
IS - 1-A
ER -