Analysing Stable Time Series

Adler, Robert J.; Feldman, Raisa E.; Gallagher, Colin

doi:10.21236/ada336964

Cited by 22 publications

(31 citation statements)

References 14 publications

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“…Such, if the data comes from the population with finite variance, the resulting variance should converge to a finite value. In other case, the variance diverges and its graph has large jumps [7]. …”

Section: Discussionmentioning

confidence: 99%

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Bayesian estimation of self-similarity exponent

2011

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Section: Discussionmentioning

confidence: 99%

“…hind them, the most simplest and most obvious way is, therefore, the visual inspection of the data [7]. The jump Lévy process shows significant different behavior for different α values, as shown in Fig.…”

Section: Discussionmentioning

confidence: 99%

Bayesian estimation of self-similarity exponent

2011

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“…models in essentially the same way as under a Gaussian assumption. Examples include linear and nonlinear regression (see [75][76][77][78]), ARMA time series (see [79][80][81]), and GARCH-type models (see [24,56]; and the references therein).…”

Section: Parameter Estimationmentioning

confidence: 99%

Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability

Paolella

2016

Econometrics

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A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 ă α ă 2 are used for assessing the appropriateness of the stable assumption as the innovations process in stable-GARCH-type models for daily stock returns. Overall, there is strong evidence against the stable as the correct innovations assumption for all stocks and time periods, though for many stocks and windows of data, the stable hypothesis is not rejected.

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“…where X = n'\X^ +...+X"), and of the sample partial autocorrelation fimction (PACF). Adler, Feldman, and Gallagher (1998) show that in the a-stable case the limiting distribution of the ACF is given by…”

Section: Estimation Of Stability Indexmentioning

confidence: 99%

“…The distribution of U/V can be computed via simulation of numerical integration of the joint density of the vector (U, V) over an appropriate region. Adler, Feldman and Gallagher (1998) found the 97.5% quantiles of U/V, a symmetric distribution, for a < 2 via simulation of 500,000 values of U/V using the S-plus routine for generating stable random variables. They are shown in table 4.1.…”

Section: Estimation Of Stability Indexmentioning

confidence: 99%

Purchasing power parity and uncovered interest parity: another look using stable law econometrics

Wang

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This manuscript has been reproduced from the microfilm master. UMI films the text directly from the original or copy submitted. Thus, some thesis and dissertation copies are in typewriter tace, while others may be from any type of computer printer.The quality of this reproduction is dependent upon the quality of the copy submitted. Broken or indistinct print, colored or poor quality illustrations and photographs, print bleedthrough, substandard margins, and improper alignment can adversely affiect reprcxluction.In the unlikely event that the author did not send UMI a complete manuscript and there are missing pages, these will be noted. Also, if unauthorized copyright material had to be removed, a note will indicate the deletion.Oversize materials (e.g., maps, drawir>gs, charts) are reproduced by sectioning the original, beginning at the upper left-hand comer and continuing from left to right in equal sections with small overiaps.

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Analysing Stable Time Series

Cited by 22 publications

References 14 publications

Bayesian estimation of self-similarity exponent

Bayesian estimation of self-similarity exponent

Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability

Purchasing power parity and uncovered interest parity: another look using stable law econometrics

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