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On the scaling ranges of detrended fluctuation analysis for long-term memory correlated short series of data

Grech, Dariusz; Mazur, Zygmunt - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 10, pp. 2384-2397

presence of long-term memory in data and the fractal structure of time series. First, the scaling range for DFA is studied for … uncorrelated data as a function of time series length L and the correlation coefficient of the linear regression R2 at various … confidence levels. Next, a similar analysis for artificial short series of data with long-term memory is performed. In both cases …

Persistent link: https://www.econbiz.de/10011064411

Semi-Markov regime switching interest rate models and minimal entropy measure

Hunt, Julien; Devolder, Pierre - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3767-3781

In this paper, we present a discrete time regime switching binomial-like model of the term structure where the regime switches are governed by a discrete time semi-Markov process. We model the evolution of the prices of zero-coupon when given an initial term structure as in the model by Ho and...

Persistent link: https://www.econbiz.de/10010873814

Detailed empirical study of the term structure of interest rates. Emergence of power laws and scaling laws

Alderweireld, Thomas; Nuyts, Jean - In: Physica A: Statistical Mechanics and its Applications 331 (2004) 3, pp. 602-616

The technique of Padé approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a...

Persistent link: https://www.econbiz.de/10011057465

The effects of different inflation risk premiums on interest rate spreads

Berument, Hakan; Kilinc, Zubeyir; Ozlale, Umit - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 317-324

This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty—structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty—are defined and derived by using a time-varying...

Persistent link: https://www.econbiz.de/10011058271

Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description

Janczura, Joanna; Orzeł, Sebastian; Wyłomańska, Agnieszka - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4379-4387

The classical financial models are based on the standard Brownian diffusion-type processes. However, in the exhibition of some real market data (like interest or exchange rates) we observe characteristic periods of constant values. Moreover, in the case of financial data, the assumption of...

Persistent link: https://www.econbiz.de/10011058359

An interest rates cluster analysis

Di Matteo, T.; Aste, T.; Mantegna, R.N. - In: Physica A: Statistical Mechanics and its Applications 339 (2004) 1, pp. 181-188

weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the … collective behavior of the stochastic fluctuations of these time series which is investigated by using a clustering linkage …

Persistent link: https://www.econbiz.de/10010589009

Phenomenology of the term structure of interest rates with Padé Approximants

Nuyts, Jean; Platten, Isabelle - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 3, pp. 528-546

The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of experimental data. We have chosen a more...

Persistent link: https://www.econbiz.de/10010589237

The matrix rate of return

Zambrzycka, Anna; Piotrowski, Edward W. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 347-353

In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This...

Persistent link: https://www.econbiz.de/10010589353

Searching threshold effects in the interest rate: An application to Turkey case

Yavuz, Nilgun Cil; Guris, Burak; Yilanci, Veli - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 2, pp. 621-627

the interest rate is a non-linear series and is characterized by a unit root process over the period 1990:1–2006:5. …

Persistent link: https://www.econbiz.de/10010589417

Interest rates hierarchical structure

Di Matteo, T.; Aste, T.; Hyde, S.T.; Ramsden, S. - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 21-33

We propose a general method to study the hierarchical organization of financial data by embedding the structure of their correlations in metric graphs in multi-dimensional spaces. An application to two different sets of interest rates is discussed by constructing triangular embeddings on the...

Persistent link: https://www.econbiz.de/10010590348