Intermittency, long-memory and financial returns

MaRDI QIDQ3400724zbMATH OpenFDO

Authors Raj Bhansali, Mark Holland, Piotr Kokoszka

Publication date 5 February 2010

zbMATH Keywords

absolute returnchaotic intermittency mapsimulationvolatility clustering

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(5)

• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• Frequency analysis of chaotic intermittency maps with slowly decaying correlations
• Asymptotic distribution of time-series intermittency estimates: applications to economic and clinical data.
• Testing for bubbles and change-points
• Statistical regularities in the return intervals of volatility

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