Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity

Audrius Kabašinskas, Svetlozar T. Rachev, Leonidas Sakalauskas, W. E.I. Sun, Igoris Belovas

Research output: Contribution to journalArticle

10 Scopus citations

Abstract

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.

Original languageEnglish
JournalJournal of Computational Analysis and Applications
Volume12
Issue number1-A
StatePublished - 2010

Keywords

  • Forex volatility
  • Mixed-stable model
  • Passivity
  • Power-corelation measures

Fingerprint Dive into the research topics of 'Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity'. Together they form a unique fingerprint.

  • Cite this