On modes of long-range dependence
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This paper aims at enhancing the understanding of long-range dependence (LRD) by focusing on mechanisms for generating this dependence, namely persistence of signs and/or persistence of magnitudes beyond what can be expected under weak dependence. These concepts are illustrated through a discussion of fractional Brownian noise of index H ε (0, 1) and it is shown that LRD in signs holds if and only if 1/2 < H < 1 and LRD in magnitudes if and only if 3/4 < H < 1. An application to discrimination...[Show more]
dc.contributor.author | Heyde, C C | |
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dc.date.accessioned | 2015-12-13T23:25:14Z | |
dc.date.available | 2015-12-13T23:25:14Z | |
dc.identifier.issn | 0021-9002 | |
dc.identifier.uri | http://hdl.handle.net/1885/92580 | |
dc.description.abstract | This paper aims at enhancing the understanding of long-range dependence (LRD) by focusing on mechanisms for generating this dependence, namely persistence of signs and/or persistence of magnitudes beyond what can be expected under weak dependence. These concepts are illustrated through a discussion of fractional Brownian noise of index H ε (0, 1) and it is shown that LRD in signs holds if and only if 1/2 < H < 1 and LRD in magnitudes if and only if 3/4 < H < 1. An application to discrimination between two risky asset finance models, the FATGBM model of Heyde and the multifractal model of Mandelbrot, is given to illustrate the use of the ideas. | |
dc.publisher | Applied Probability Trust | |
dc.source | Journal of Applied Probability | |
dc.subject | Keywords: FATGBM model; Fractional Brownian motion; Long-range dependence; Multifractal model; Persistence of magnitudes; Persistence of signs; Risky asset models | |
dc.title | On modes of long-range dependence | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.description.refereed | Yes | |
local.identifier.citationvolume | 39 | |
dc.date.issued | 2002 | |
local.identifier.absfor | 010406 - Stochastic Analysis and Modelling | |
local.identifier.ariespublication | MigratedxPub23705 | |
local.type.status | Published Version | |
local.contributor.affiliation | Heyde, C C, College of Physical and Mathematical Sciences, ANU | |
local.bibliographicCitation.startpage | 882 | |
local.bibliographicCitation.lastpage | 888 | |
local.identifier.doi | 10.1239/jap/1037816026 | |
dc.date.updated | 2015-12-12T09:24:09Z | |
local.identifier.scopusID | 2-s2.0-0037001243 | |
Collections | ANU Research Publications |
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