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On modes of long-range dependence

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dc.contributor.authorHeyde, C C
dc.date.accessioned2015-12-13T23:25:14Z
dc.date.available2015-12-13T23:25:14Z
dc.date.issued2002
dc.date.updated2015-12-12T09:24:09Z
dc.description.abstractThis 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.identifier.issn0021-9002
dc.identifier.urihttp://hdl.handle.net/1885/92580
dc.publisherApplied Probability Trust
dc.sourceJournal of Applied Probability
dc.subjectKeywords: FATGBM model; Fractional Brownian motion; Long-range dependence; Multifractal model; Persistence of magnitudes; Persistence of signs; Risky asset models
dc.titleOn modes of long-range dependence
dc.typeJournal article
local.bibliographicCitation.lastpage888
local.bibliographicCitation.startpage882
local.contributor.affiliationHeyde, C C, College of Physical and Mathematical Sciences, ANU
local.contributor.authoruidHeyde, C C, u8606978
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationMigratedxPub23705
local.identifier.citationvolume39
local.identifier.doi10.1239/jap/1037816026
local.identifier.scopusID2-s2.0-0037001243
local.type.statusPublished Version

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