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Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity. (English) Zbl 1192.91193

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.

MSC:

91G70 Statistical methods; risk measures
91G30 Interest rates, asset pricing, etc. (stochastic models)
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