Publication:3626135
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zbMath1165.91454MaRDI QIDQ3626135
Leonidas L. Sakalauskas, Audrius Kabašinskas, Igoris Belovas, Svetlozar T. Rachev, Wei Sun
Publication date: 22 May 2009
self-similarity; stable law; infinite variance; Hurst exponent; Anderson-Darling; portfolio selection; multifractal; financial modeling; mixed-stable model; codifference, covariation; Hurwitz zeta distribution; Kolmogorov-Smirnov criteria; passivity and stagnation phenomenon
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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