In the paper, using Levy processes subordinated by ＇asymptotically self-similar activity time＇ pro- cesses with long-range dependence, we set up new asset pricing models. Using the different construction for gamma ...In the paper, using Levy processes subordinated by ＇asymptotically self-similar activity time＇ pro- cesses with long-range dependence, we set up new asset pricing models. Using the different construction for gamma （F） based ＇asymptotically self-similar activity time＇ processes with long-range dependence from Fin- lay and Seneta （2006） we extend the constructions for inverse-gamma and gamma based ＇asymptotically self- similar activity time＇ processes with integer-vMued parameters and long-range dependence in Heyde and Leo- nenko （2005） and Finlay and Seneta （2006） to noninteger-valued parameters.展开更多
In this study,a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail,volatility clustering,and long-range dependence properties is introduced.To define the fractional g...In this study,a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail,volatility clustering,and long-range dependence properties is introduced.To define the fractional generalized hyperbolic process,the non-fractional variant is derived by subordinating time-changed Brownian motion to the generalized inverse Gaussian process,and thereafter,the fractional generalized hyperbolic process is obtained using the Volterra kernel.Based on the ARMA–GARCH model with standard normal innovations,the parameters are estimated for the high-frequency returns of six U.S.stocks.Subsequently,the residuals extracted from the estimated ARMA–GARCH parameters are fitted to the fractional and non-fractional generalized hyperbolic processes.The results show that the fractional generalized hyperbolic process performs better in describing the behavior of the residual process of high-frequency returns than the non-fractional processes considered in this study.展开更多
This article explores the short-range dependence （SRD） and the long-range dependence （LRD） of self-similar traffic generated by the fractal-binomial-noise-driven Poisson process （FBNDP） model and lays emphasis o...This article explores the short-range dependence （SRD） and the long-range dependence （LRD） of self-similar traffic generated by the fractal-binomial-noise-driven Poisson process （FBNDP） model and lays emphasis on the former. By simulation, the SRD decaying trends with the increase of Hurst value and peak rate are obtained, respectively. After a comprehensive analysis of accuracy of self-similarity intensity, the optimal range of peak rate is determined by taking into account the time cost, the accuracy of self-similarity intensity, and the effect of SRD.展开更多
This paper aims at investigating possible regional attenuation patterns in the case of Vrancea（Romania） intermediate-depth earthquakes.Almost 500 pairs of horizontal components recorded during 13 intermediate-depth ...This paper aims at investigating possible regional attenuation patterns in the case of Vrancea（Romania） intermediate-depth earthquakes.Almost 500 pairs of horizontal components recorded during 13 intermediate-depth Vrancea earthquakes are employed in order to evaluate the regional attenuation patterns.The recordings are grouped according to the azimuth with regard to the Vrancea seismic source and subsequently,Q models are computed for each azimuthal zone assuming similar geometrical spreading.Moreover,the local soil amplification which was disregarded in a previous analysis performed for Vrancea intermediate-depth earthquakes is now clearly evaluated.The results show minor differences between the four regions situated in front of the Carpathian Mountains and considerable differences in attenuation of seismic waves between the forearc and backarc regions（with regard to the Carpathian Mountains）.Consequently,an average Q model of the type Q（f） = 115×f^1.25 is obtained for the four forearc regions,while a separate Q model of the type Q（f） = 70×f^0.90 is computed for the backarc region.These results highlight the need to evaluate the seismic hazard of Romania by using ground motion models which take into account the different attenuation between the forearc/backarc regions.展开更多
基金supported by National Natural Science Foundation of China(Grant No.71271042)the Plan of Jiangsu Specially-Appointed Professors,the Jiangsu Hi-Level Innovative and Entrepreneurship Talent Introduction Plan and Major Program of Key Research Center in Financial Risk Management of Jiangsu Universities Philosophy Social Sciences(Grant No.2012JDXM009)
文摘In the paper, using Levy processes subordinated by ＇asymptotically self-similar activity time＇ pro- cesses with long-range dependence, we set up new asset pricing models. Using the different construction for gamma （F） based ＇asymptotically self-similar activity time＇ processes with long-range dependence from Fin- lay and Seneta （2006） we extend the constructions for inverse-gamma and gamma based ＇asymptotically self- similar activity time＇ processes with integer-vMued parameters and long-range dependence in Heyde and Leo- nenko （2005） and Finlay and Seneta （2006） to noninteger-valued parameters.
文摘In this study,a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail,volatility clustering,and long-range dependence properties is introduced.To define the fractional generalized hyperbolic process,the non-fractional variant is derived by subordinating time-changed Brownian motion to the generalized inverse Gaussian process,and thereafter,the fractional generalized hyperbolic process is obtained using the Volterra kernel.Based on the ARMA–GARCH model with standard normal innovations,the parameters are estimated for the high-frequency returns of six U.S.stocks.Subsequently,the residuals extracted from the estimated ARMA–GARCH parameters are fitted to the fractional and non-fractional generalized hyperbolic processes.The results show that the fractional generalized hyperbolic process performs better in describing the behavior of the residual process of high-frequency returns than the non-fractional processes considered in this study.
基金This study is supported by National Natural Science Foundation of China(60507007,60372100).
文摘This article explores the short-range dependence （SRD） and the long-range dependence （LRD） of self-similar traffic generated by the fractal-binomial-noise-driven Poisson process （FBNDP） model and lays emphasis on the former. By simulation, the SRD decaying trends with the increase of Hurst value and peak rate are obtained, respectively. After a comprehensive analysis of accuracy of self-similarity intensity, the optimal range of peak rate is determined by taking into account the time cost, the accuracy of self-similarity intensity, and the effect of SRD.
基金Romanian National Authority for Scientific Research and Innovation,CNCS–UEFISCDI,project number PN-II-RU-TE-2014-4-0697
文摘This paper aims at investigating possible regional attenuation patterns in the case of Vrancea（Romania） intermediate-depth earthquakes.Almost 500 pairs of horizontal components recorded during 13 intermediate-depth Vrancea earthquakes are employed in order to evaluate the regional attenuation patterns.The recordings are grouped according to the azimuth with regard to the Vrancea seismic source and subsequently,Q models are computed for each azimuthal zone assuming similar geometrical spreading.Moreover,the local soil amplification which was disregarded in a previous analysis performed for Vrancea intermediate-depth earthquakes is now clearly evaluated.The results show minor differences between the four regions situated in front of the Carpathian Mountains and considerable differences in attenuation of seismic waves between the forearc and backarc regions（with regard to the Carpathian Mountains）.Consequently,an average Q model of the type Q（f） = 115×f^1.25 is obtained for the four forearc regions,while a separate Q model of the type Q（f） = 70×f^0.90 is computed for the backarc region.These results highlight the need to evaluate the seismic hazard of Romania by using ground motion models which take into account the different attenuation between the forearc/backarc regions.
