On modes of long-range dependence

Journal of Applied Probability

Volumn 39, Issue 4, 2002, Pages 882-888

  Heyde, C C ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

FATGBM model; Fractional Brownian motion; Long range dependence; Multifractal model; Persistence of magnitudes; Persistence of signs; Risky asset models

Indexed keywords

EID: 0037001243     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1037816026     Document Type: Article

References (13)

1. BERAN, J. (1994). Statistics for Long-Memory Processes. Chapman and Hall, New York.
2. Cox, D. R. (1984). Long-range dependence: a review. In Statistics: An Appraisal, eds H. A. David and H. T. David, Iowa State University Press, Ames, pp. 55-74.
3. FISHER, A., CALVET, L. AND MANDELBROT, B. B. (1997). Multifractality of the Deutchmark/US Dollar exchange rates. Cowles Foundation Discussion Paper No. 1165.
4. HEYDE, C. C. (1999). A risky asset model with strong dependence through fractal activity time. J. Appl. Prob. 36, 1234-1239.
5. HEYDE, C. C. AND LIU, S. (2001). Empirical realities for a minimal description risky asset model. The need for fractal features. J. Korean Math. Soc. 38, 1047-1059.
6. HEYDE, C. C. AND YANG, Y. (1997). On defining long-range dependence. J. Appl. Prob. 34, 939-944.
7. JOHNSON, N. L. AND KOTZ, S. (1972). Distributions in Statistics: Continuous Multivariate Distributions. John Wiley, New York.
8. MANDELBROT, B. B. (2001). Scaling in financial prices: I. Tails and dependence. Quant. Finance 1, 113-123.
9. MANDELBROT, B. B. (2001). Scaling in financial prices: II. Multifractals and the star equation. Quant. Finance 1, 124-130.
10. MANDELBROT, B. B. (2001). Scaling in financial prices: III. Cartoons Brownian motions in multifractal time. Quant. Finance 1, 427-440.
11. MANDELBROT, B. B. (2001). Scaling in financial prices: IV. Multifractal concentration. Quant. Finance 1, 641-649.
12. MANDELBROT, B. B., FISHER, A. AND CALVET, L. (1997). A multifractal model of asset returns. Cowles Foundation Discussion Paper No. 1164.
13. RACHEV, S. AND MITTNIK, S. (2000). Stable Paretian Models in Finance. John Wiley, New York.