Codifference as a practical tool to measure interdependence (Q1783336): Difference between revisions

@@ Property / author @@
-Aleksei V. Chechkin
@@ Property / author: Aleksei V. Chechkin / rank @@
-Normal rank
@@ Property / author @@
+Aleksei V. Chechkin
@@ Property / author: Aleksei V. Chechkin / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2123895200
@@ Property / OpenAlex ID: W2123895200 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4239
@@ Property / arXiv ID: 1407.4239 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5829358
@@ Property / cites work: Q5829358 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Problems in Physics and Astronomy
@@ Property / cites work: Stochastic Problems in Physics and Astronomy / rank @@
+Normal rank
@@ Property / cites work @@
+Q3717907
@@ Property / cites work: Q3717907 / rank @@
+Normal rank
@@ Property / cites work @@
+Stable Distribution and Levy Process in Fractal Turbulence
+Normal rank
@@ Property / cites work @@
+Chance and Stability
@@ Property / cites work: Chance and Stability / rank @@
+Normal rank
@@ Property / cites work @@
+Q2709279
@@ Property / cites work: Q2709279 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+The random walk's guide to anomalous diffusion: A fractional dynamics approach
+Normal rank
@@ Property / cites work @@
+Introduction to Econophysics
@@ Property / cites work: Introduction to Econophysics / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy-driven Langevin systems: targeted stochasticity
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Stochastic Ornstein-Uhlenbeck capacitors
@@ Property / cites work: Stochastic Ornstein-Uhlenbeck capacitors / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional motions
@@ Property / cites work: Fractional motions / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Elastic Model: Fractional Langevin Description, Fluctuation Relation and Linear Response
+Normal rank
@@ Property / cites work @@
+INFINITE VARIANCE STABLE ARMA PROCESSES
@@ Property / cites work: INFINITE VARIANCE STABLE ARMA PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
+Normal rank
@@ Property / cites work @@
+Correlation cascades, ergodic properties and long memory of infinitely divisible processes
+Normal rank
@@ Property / cites work @@
+Q5359824
@@ Property / cites work: Q5359824 / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodic properties of stationary stable processes
@@ Property / cites work: Ergodic properties of stationary stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4851876
@@ Property / cites work: Q4851876 / rank @@
+Normal rank
@@ Property / cites work @@
+Regression Quantiles
@@ Property / cites work: Regression Quantiles / rank @@
+Normal rank
@@ Property / cites work @@
+Q5598785
@@ Property / cites work: Q5598785 / rank @@
+Normal rank
@@ Property / cites work @@
+The Brownian movement and stochastic equations
@@ Property / cites work: The Brownian movement and stochastic equations / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
+Normal rank
@@ Property / cites work @@
+Q5286671
@@ Property / cites work: Q5286671 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Tools for Finance and Insurance
@@ Property / cites work: Statistical Tools for Finance and Insurance / rank @@
+Normal rank
@@ Property / cites work @@
+The fractional Poisson process and the inverse stable subordinator
+Normal rank
@@ Property / cites work @@
+Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
+Normal rank
@@ Property / cites work @@
+Q3241504
@@ Property / cites work: Q3241504 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical physics and economic fluctuations: do outliers exist?
+Normal rank
@@ Property / cites work @@
+Transport in the spatially tempered, fractional Fokker–Planck equation
+Normal rank
@@ Property / cites work @@
+The tempered stable process with infinitely divisible inverse subordinators
+Normal rank
@@ Property / cites work @@
+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Tempered stable Lévy motion and transient super-diffusion
+Normal rank
@@ Property / cites work @@
+Diffusion Equation and Stochastic Processes
@@ Property / cites work: Diffusion Equation and Stochastic Processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q2723273
@@ Property / cites work: Q2723273 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Laplace motion
@@ Property / cites work: Fractional Laplace motion / rank @@
+Normal rank
@@ Property / cites work @@
+Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
+Normal rank
@@ Property / cites work @@
+Q3353894
@@ Property / cites work: Q3353894 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for independence in heavy-tailed time series using the codifference function
+Normal rank
@@ Property / cites work @@
+Simple consistent estimators of stable distribution parameters
+Normal rank
@@ Property / cites work @@
+Parameter estimation for ARMA models with infinite variance innovations
+Normal rank
@@ Property / cites work @@
+Long-memory stable {O}rnstein-{U}hlenbeck processes
+Normal rank