Kabašinskas, Audrius; Rachev, Svetlozar T.; Sakalauskas, Leonidas; Sun, Wei; Belovas, Igoris Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity. (English) Zbl 1192.91193 J. Comput. Anal. Appl. 12, No. 1B, 268-292 (2010). Summary: 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. Cited in 1 Document MSC: 91G70 Statistical methods; risk measures 91G30 Interest rates, asset pricing, etc. (stochastic models) Keywords:passivity; mixed-stable model; forex volatility; power-correlation measures PDFBibTeX XMLCite \textit{A. Kabašinskas} et al., J. Comput. Anal. Appl. 12, No. 1B, 268--292 (2010; Zbl 1192.91193)