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Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
nancial time series high-frequency returns generalized hyperbolic distributions Levy-stable distributions scaling laws tail behaviour
2012/9/14
Abstract.In this paper we perform a statistical analysis of the high-frequency re-turns of theIbex35Madrid stock exchange index. We nd that its probability distri-bution seems to be stable over di er...
Global Stability of Financial Networks Against Contagion: Measure, Evaluation and Implications
financial networks stability financial contagion network models.
2012/9/14
Involvements of major financial institutions in the recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In...
Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
Stability of ADI schemes multidimensional diffusion equations mixed derivative terms Numerical Analysis
2012/6/5
In this paper the unconditional stability of four well-known ADI schemes is analyzed in the application to time-dependent multidimensional diffusion equations with mixed derivative terms. Necessary an...
TESTING FOR REGRESSION COEFFICIENT STABILITY WITH A STATIONARY AR(1) ALTERNATIVE
Regression Coefficient Stability Stationary AR(1) Alternative
2014/3/18
We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process...