Výsledky vyhledávání - "Rapp, Albert"

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Long Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators

In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of our result is that this condition does not involve mixing properties t

Externí odkaz: http://arxiv.org/abs/2305.10168

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Detection of Long Range Dependence in the Time Domain for (In)Finite-Variance Time Series

Autor: Oesting, Marco, Rapp, Albert, Spodarev, Evgeny

Empirical detection of long range dependence (LRD) of a time series often consists of deciding whether an estimate of the memory parameter $d$ corresponds to LRD. Surprisingly, the literature offers numerous spectral domain estimators for $d$ but the

Externí odkaz: http://arxiv.org/abs/2204.05608

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Akademický článek

Empirical evidence of attribute framing: the case of unsophisticated IPO investors

Autor: Rapp, Albert

Publikováno v: Review of Behavioral Finance, 2022, Vol. 15, Issue 6, pp. 811-826.

Externí odkaz: http://www.emeraldinsight.com/doi/10.1108/RBF-01-2022-0008

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Long Range Dependence for Stable Random Processes

Autor: Makogin, Vitalii, Oesting, Marco, Rapp, Albert, Spodarev, Evgeny

We investigate long and short memory in $\alpha$-stable moving averages and max-stable processes with $\alpha$-Fr\'echet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence suggested by Kulik an

Externí odkaz: http://arxiv.org/abs/1908.11187

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