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

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

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

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 language	English
Journal	Journal of Computational Analysis and Applications
Volume	12
Issue number	1-A
State	Published - 2010

Keywords

Forex volatility
Mixed-stable model
Passivity
Power-corelation measures

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

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.",

keywords = "Forex volatility, Mixed-stable model, Passivity, Power-corelation measures",

author = "Audrius Kaba{\v s}inskas and Rachev, {Svetlozar T.} and Leonidas Sakalauskas and Sun, {W. E.I.} and Igoris Belovas",

year = "2010",

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Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity. / Kabašinskas, Audrius; Rachev, Svetlozar T.; Sakalauskas, Leonidas; Sun, W. E.I.; Belovas, Igoris.

In: Journal of Computational Analysis and Applications, Vol. 12, No. 1-A, 2010.

Research output: Contribution to journal › Article › peer-review

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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

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

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AN - SCOPUS:77954647281

VL - 12

JO - Journal of Computational Analysis and Applications

JF - Journal of Computational Analysis and Applications

SN - 1521-1398

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