Mixed-Stable Models: An Application to High-Frequency Financial Data

The paper extends the study of applying the mixed-stable models to the analysis of large sets of high-frequency financial data. The empirical data under review are the German DAX stock index yearly log-returns series. Mixed-stable models for 29 DAX companies are constructed employing efficient paral...

Full description

Bibliographic Details
Main Authors: Igoris Belovas, Leonidas Sakalauskas, Vadimas Starikovičius, Edward W. Sun
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Entropy
Subjects:
Online Access:https://www.mdpi.com/1099-4300/23/6/739

Similar Items