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Angaben zur Quelle [Bearbeiten]

Autor     B. Bojan
Titel    The sample autocorrelation function of non-linear time series
Ort    Groningen
Jahr    2000
Anmerkung    Dissertation Groningen
URL    http://irs.ub.rug.nl/ppn/240036395

Literaturverz.   

no
Fußnoten    no
Fragmente    5


Fragmente der Quelle:
[1.] Rh/Fragment 001 34 - Diskussion
Zuletzt bearbeitet: 2012-08-28 07:35:11 Hindemith
Bojan 2000, Fragment, Gesichtet, KeineWertung, Rh, SMWFragment, Schutzlevel

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Untersuchte Arbeit:
Seite: 1, Zeilen: 34-36
Quelle: Bojan 2000
Seite(n): 2, Zeilen: 25-27
The series of the observed price is transformed into log-returns by taking log-differences X_i = log P_i - log P_{i-1}. The series of observed exchange rates (R_t) is transformed into log-returns by taking log-differences: X_t = log R_t - log R_{t-1}.
Anmerkungen

Ohne Quellenangabe. Nur kurz, aber Fortsetzung der Übernahme aus derselben Quelle auf der folgenden Seite. Anpassung der Notation.

Sichter
KnallErbse

[2.] Rh/Fragment 002 01 - Diskussion
Zuletzt bearbeitet: 2012-07-31 16:04:37 WiseWoman
Bojan 2000, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Quelle: Bojan 2000
Seite(n): 2, Zeilen: 28-31
This transformation is commonly used in finance (see for example Jorion (2003)). There are several reasons for this choice of transformation. The most important one is the belief that log-returns, in contrast to prices, can be understood as realization of a stationary process. This transformation is commonly used in finance (see Taylor [65]). There are several reasons for this choice of transformation. The first one is that one believes that log-returns, in contrast to prices, can be understood as realisation of a stationary process.
Anmerkungen

This must be seen in connection with the last line of the previous page, which is from the same source (Bojan 2000). Note that one of the standard sources (Taylor 65) has been replaced by another standard source (Jorion 2003). Both sources are relatively useless without page numbers. Jorion 2003 is a book of many hundred pages.

Sichter
(PlagiatsFischer), KnallErbse

[3.] Rh/Fragment 175 36 - Diskussion
Zuletzt bearbeitet: 2012-07-30 23:32:12 Hindemith
Bojan 2000, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Untersuchte Arbeit:
Seite: 175, Zeilen: 36-39
Quelle: Bojan 2000
Seite(n): 5, Zeilen: 5-9
In a first approximation one may describe a regular varying distribution at infinity as one whose tails are much heavier than those of the normal or exponential distributions. Historically, a precise definition as “heavy" or “ light" tails very much depends on the area of application and the structural properties of the time series one wants to model. Heuristically, we may describe a "heavy-tailed" distribution as one whose tails are much heavier than those of the normal or exponential distributions. Historically, a precise definition of "heavy" or "light" tails very much depends on the area of application and the structural properties of the time series one wants to model.
Anmerkungen

Slightly adapted. The source is not referenced.

Sichter
(Hindemith), Graf Isolan

[4.] Rh/Fragment 176 01 - Diskussion
Zuletzt bearbeitet: 2012-07-31 16:10:47 WiseWoman
Bojan 2000, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Quelle: Bojan 2000
Seite(n): 5, Zeilen: 14-15, 21-23
Two classes of distributions have gained particular popularity for modelling extreme events: regularly varying distributions and subexponential distributions. This chapter concentrates only on the first class, for which many real-life data sets in teletraffic, insurance and finance exist empirical evidence in favour.

Nowadays, there are several books on this theory (Bingham et al. (1987); Resnick (1987); Embrechts et al. (1997); Resnick (2006)).

Two classes of distributions have gained particular popularity for modelling extremal events: regularly varying distributions and subexponential distributions.

[...]

For many real-life data sets in teletraffic, insurance and finance there exists empirical evidence in favour of regularly varying distributions, see for instance Embrechts, Kluppelberg and Mikosch [25].

Anmerkungen

"Embrechts et al. (1997)" = "Embrechts, Kluppelberg and Mikosch [25]"

Übereinstimmung ohne Kennzeichnung der Übernahme oder Quellenangabe.

Sichter
(Graf Isolan), KnallErbse

[5.] Rh/Fragment 180 09 - Diskussion
Zuletzt bearbeitet: 2012-07-31 16:07:17 WiseWoman
Bojan 2000, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

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Untersuchte Arbeit:
Seite: 180, Zeilen: 9-14
Quelle: Bojan 2000
Seite(n): 23, 24, Zeilen: 23-26, 1-4
In practice one is often confronted with multivariate problems on a variety of stock or bond indices, or, perhaps the same assets in different markets. A multivariate concept of regular variation then will be needed. However, the extension of a mathematical notion from the one dimensional to the higher dimensional case often leads to a great variety of different approximations. The great majority of the results to be presented is known and can be found in Bingham et al. (1987); [...] In practice one is often confronted with multivariate data: on a particular day not only one but a variety of stock indices is reported, or, perhaps the price of the stock is determined in different markets. A multivariate concept of regular variation will be needed. However, the extension of a mathematical notion from

[Page 24]

the one-dimensional to the higher-dimensional case often leads to a great variety of different notions. [...] The great majority of the results to be presented is known and can be found in Bingham et al. [7] [...]

Anmerkungen

A source is not given.

Sichter
(Hindemith), KnallErbse

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