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.
|Journal||Journal of Computational Analysis and Applications|
|State||Published - 2010|
- Forex volatility
- Mixed-stable model
- Power-corelation measures