Search Results - subject:"Self-similar process"

Spurious long-range dependence: evidence from Malaysian equity markets

Chin, Wencheong - Volkswirtschaftliche Fakultät, … - 2008

In this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of the Malaysian stock exchange. We studied the 20 years daily data which included the pre- and post-economic crises encountered in the Malaysian stock exchange. The unawareness of...

Persistent link: https://www.econbiz.de/10005621385

Operator self-similar processes and functional central limit theorems

Characiejus, Vaidotas; Račkauskas, Alfredas - In: Stochastic Processes and their Applications 124 (2014) 8, pp. 2605-2627

generates an operator self-similar process. …

Persistent link: https://www.econbiz.de/10011065002

A class of asymptotically self-similar stable processes with stationary increments

Can, Sami Umut - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 3986-4011

We generalize the BM-local time fractional symmetric α-stable motion introduced in Cohen and Samorodnitsky (2006) by replacing the local time with a general continuous additive functional (CAF). We show that the resulting process is again symmetric α-stable with stationary increments....

Persistent link: https://www.econbiz.de/10011065117

Asymptotic behavior of the supremum tail probability for anomalous diffusions

Michna, Zbigniew - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 413-417

In this paper we investigate asymptotic behavior of the tail probability for subordinated self-similar processes with regularly varying tail probability. We show that the tail probability of the one-dimensional distributions and the supremum tail probability are regularly varying with the...

Persistent link: https://www.econbiz.de/10011063534

Self-similar models in risk theory

Burnecki, Krzysztof - Hugo Steinhaus Center for Stochastic Methods, … - 1998

symmetric stable self-similar process into three independent parts. The class of such processes appears to be quite broad and …

Persistent link: https://www.econbiz.de/10009003624

Spectral representation and structure of self-similar processes

Burnecki, Krzysztof; Rosinski, Jan; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 1997

In this paper we establish a spectral representation of any symmetric stable self-similar process in terms of … multiplicative flows and cocycles. Applying the Lamperti transformation we obtain a unique decomposition of a symmetric stable self-similar … process into three independent parts: mixed fractional motion, harmonizable and evanescent. …

Persistent link: https://www.econbiz.de/10009003605

The Lamperti transformation for self-similar processes

Burnecki, Krzysztof; Maejima, Makoto; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 1997

In this paper we establish the uniqueness of the Lamperti transformation leading from self-similar to stationary processes, and conversely. We discuss alpha-stable processes, which allow to understand better the difference between the Gaussian and non-Gaussian cases. As a by-product we get a...

Persistent link: https://www.econbiz.de/10009003622

Impact of Bursty Traffic on Queues

Nain, Philippe - In: Statistical Inference for Stochastic Processes 5 (2002) 3, pp. 307-320

Persistent link: https://www.econbiz.de/10005616004

Long-Term Dependence and Least Squares Regression in Investment Analysis

Greene, Myron T.; Fielitz, Bruce D. - In: Management Science 26 (1980) 10, pp. 1031-1038

It is widely assumed that common stock returns approximate a random walk, i.e., the returns are assumed to be serially independent. As a consequence, estimates of systematic risk and efficient portfolios are usually developed using any convenient differencing interval with the implication that...

Persistent link: https://www.econbiz.de/10009204518