Stability and lack of memory of the returns of the Hang Seng index

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 18-19, 2011, Pages 3136-3146

  Burnecki, Krzysztof ^a   Gajda, Janusz ^a   Sikora, Grzegorz ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

FARIMA; Hang Seng index; Long memory; Lvy stable distribution; Mean squared displacement

Indexed keywords

ELASTIC MODULI; GAUSSIAN NOISE (ELECTRONIC);

FARIMA; HANG SENG INDEX; LONG MEMORY; MEAN SQUARED DISPLACEMENT; STABLE DISTRIBUTIONS;

DISTRIBUTION FUNCTIONS;

EID: 79958146235     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.04.025     Document Type: Article

References (68)

1. B. Mandelbrot, and J. Wallis Water Resour. Res. 4 1968 909
2. J. Beran Statistics for Long-Memory Processes 1994 Chapman & Hall NY
3. R.N. Mantegna, and H.E. Stanley An Introduction to Econophysics: Correlations and Complexity in Finance 2000 Cambridge University Press
4. P. Doukham, G. Oppenheim, and M.S. Taqqu Theory and Applications of Long Range Dependence 2003 Birkhser Boston
5. E. Eberlein, and M. Taqqu Dependence in Probability and Statistics 1986 Birkhuser Boston
6. A. Janicki, and A. Weron A Simulation and Chaotic Behaviour of α-Stable Stochastic Processes 1994 Marcel Dekker Inc. New York
7. A. Weron, K. Burnecki, Sz. Mercik, and K. Weron Phys. Rev. E 71 2005 016113
8. P.A. Varotsos, N.V. Sarlis, E.S. Skordas, H.K. Tanaka, and M.S. Lazaridou Phys. Rev. E 74 2006 021123
9. K. Burnecki, J. Klafter, M. Magdziarz, and A. Weron Physica A 387 2008 1077
10. A. Stanislavsky, K. Burnecki, M. Magdziarz, and A. Weron Astrophys. J. 693 2009 1877
11. S.H. Kang, C. Cheong, and S.-M. Yoon Physica A 389 2010 4844
12. B. Podobnik, and H.E. Stanley Phys. Rev. Lett. 100 2008 084102
13. B. Podobnik, D. Horvatic, A.M. Petersen, and H.E. Stanley Proc. Natl. Acad. Sci. USA 106 2009 22079
14. S. Arianos, and A. Carbone J. Stat. Mech. 2009 P03037
15. P. Embrechts, and M. Maejima Internat. J. Modern Phys. B 14 2000 1399 Selfsimilar Processes 2002 Princeton University Press Princeton
16. B. Mandelbrot, and J.W. Van Ness SIAM Rev. 10 1968 422
17. B. Mandelbrot Fractals and Scaling in Finance 1997 Springer Berlin
18. B. Mandelbrot J. Business 36 1963 394
19. E.W. Montroll, and H. Scher J. Stat. Phys. 10 1973 101
20. R. Metzler, and J. Klafter Phys. Rep. 339 2000 1
21. A.V. Chechkin, J. Klafter, V.Y. Gonchar, R. Metzler, and L.V. Tanatarov Phys. Rev. E 67 2003 010102(R)
22. I. Eliazar, and J. Klafter J. Stat. Phys. 111 2003 739
23. A.V. Chechkin, J. Klafter, and I.M. Sokolov Europhys. Lett. 63 2003 326
24. B. Dybiec, and E. Gudowska-Nowak Phys. Rev. E 69 2004 016105 Fluct. Noise Lett. 4 2004 L273
25. B. Dybiec, E. Gudowska-Nowak, and P. Hnggi Phys. Rev. E 73 2006 046104
26. A.V. Chechkin, J. Klafter, V.Yu. Gonchar, R. Metzler, and L.V. Tanatarov Chem. Phys. 284 2002 233
27. I.M. Sokolov, J. Klafter, and A. Blumen Phys. Today 55 2002 48
28. I.M. Sokolov Phys. Rev. E 63 2000 011104 63 (2001) 056111
29. A.A. Stanislavsky Phys. Rev. E 61 2000 4752 Theoret. and Math. Phys. 138 2004 418
30. A. Piryatinska, A.I. Saichev, and W.A. Woyczynski Physica A 349 2005 375
31. G. Samorodnitsky, and M.S. Taqqu Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance 1994 Chapman & Hall London
32. R.N. Mantegna, and H.E. Stanley Phys. Rev. Lett. 73 1994 2946
33. I. Koponen Phys. Rev. E 52 1995 1197
34. B. Podobnik, P.Ch. Ivanov, Y. Lee, and H.E. Stanley Europhys. Lett. 52 2000 491
35. J. Rosinski Stoch. Proc. Appl. 117 2007 677
36. B. Baeumera, and M.M. Meerschaert J. Comput. Appl. Math. 233 2010 2438
37. S. Stoev, and M.S. Taqqu Fractals 12 2004 95
38. P.J. Brockwell, and R.A. Davis Introduction to Time Series and Forecasting 2002 Springer New York
39. P.S. Kokoszka, and M.S. Taqqu Stochastic Process. Appl. 60 1995 19
40. L. Giraitis, P. Kokoszka, and R. Leipus J. Appl. Prob. 38 2001 1033
41. J. Xiu, and Y. Jin Physica A 377 2007 138
42. R. Weron Physica A 312 2002 285
43. E. Lutz Phys. Rev. E 64 2001 051106
44. S.C. Kou, and X.S. Xie Phys. Rev. Lett. 93 2004 180603
45. W. Deng, and E. Barkai Phys. Rev. E 79 2009 011112
46. J.H. Jeon, and R. Metzler Phys. Rev. E 81 2010 021103
47. B. Mandelbrot C. R. Acad. Sci. Paris 240 1965 3274
48. N.W. Watkins, D. Credgington, R. Sanchez, S.J. Rosenberg, and S.C. Chapman Phys. Rev. E 79 2009 041124
49. C.W.J. Granger, and R. Joyeux J. Time Series Anal. 1 1980 15
50. J.R.M. Hosking Biometrika 68 1981 165
51. M. Magdziarz, and A. Weron Studia Math. 181 2007 44
52. O.E. Barndorff-Nielsen, Normal//Inverse Gaussian Processes and the Modelling of Stock Returns, Research Report 300, Department of Theoretical Statistics, University of Aarhus, 1995.
53. R. Weron, Computationally intensive value at risk calculations, in: J.E. Gentle, W. Haerdle, Y. Mori (Eds.), Handbook of Computational Statistics: Concepts and Methods, Springer, Berlin, p. 911.
54. R.B. D'Agostino, and M.A. Stephens Goodness-of-Fit Techniques 1986 Marcel Dekker New York
55. K. Burnecki, G. Kukla, and R. Weron Physica A 287 2000 269
56. K. Burnecki, J. Janczura, and R. Weron Building loss models P. Cizek, W Hrdle, R. Weron, Statistical Tools for Finance and Insurance second ed. 2011 Springer Berlin 293
57. I.A. Koutrouvelis JASA 75 1980 918
58. H.E. Hurst Trans. Am. Soc. Civ. Eng. 116 1951 770
59. R. Weron, and B. Przybylowicz Physica A 283 2000 462
60. M.S. Taqqu, and V. Teverovsky R.J. Adler, R. Feldman, M.S. Taqqu, A Practical Guide To Heavy Tails: Statistical Techniques and Applications 1998 Birkhuser Boston p. 177
61. A.W. Lo Econometrica 59 1991 1279
62. V. Teverovsky, M.S. Taqqu, and W. Willinger J. Statist. Plann. Inference 80 1999 211
63. K. Burnecki, and A. Weron Phys. Rev. E 82 2010 021130
64. J.D. Cryer, and K.-S. Chan Time Series Analysis: With Applications in R second ed. 2008 Springer New York
65. T. Bollerslev J. Econometrics 31 1986 307
66. R.F. Engle Econometrica 50 1982 987
67. J.H.H. Lee Econom. Lett. 37 1991 265
68. G.M. Ljung, and G.E.P. Box Biometrika 65 1978 297