• Proceedings of the Korea Institute of Convergence Signal Processing
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• 2000.08a
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• pp.21-24
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• 2000

Fractional Brownian motion(fBm)은 long-term persistence 특성을 가진 자연 현상, 1/f 잡음, 깊이가 낮은 해저에서의 배경음향잡음 등을 모델링하는데 많이 사용된다. 이 fBm은 nonstationary 유색잡음이다. 이러한 유색잡음 환경 하에서 신호를 검출하기 위한 한 방법은 Fredholm 적분방정식의 해를 구하는 것이다. 이 방정식을 이산화 하면 잡음의 공분산 행렬의 역행렬이 포함되어 계산량이 많다 본 논문에서는 fBm 잡음의 공분산 행렬을 웨이브렛 변환하여 얻어지는 행렬, 즉 fBm의 멀티스케일 성분들의 공분산행렬은 밴드화된 블록들로 근사화할 수 있다는 성질을 이용하여 적은 계산량으로 신호를 검출하는 알고리즘을 제안한다.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.63-89
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• 2007

This study aims at empirically verifying whether long memory properties exist in returns and volatility of the financial time series and then, empirically observing influential factors of long-memory properties. The presence of long memory properties in the financial time series is examined with the Hurst exponent. The Hurst exponent is measured by DFA(detrended fluctuation analysis). The empirical results are summarized as follows. First, the presence of significant long memory properties is not identified in return time series. But, in volatility time series, as the Hurst exponent has the high value on average, a strong presence of long memory properties is observed. Then, according to the results empirically confirming influential factors of long memory properties, as the Hurst exponent measured with volatility of residual returns filtered by GARCH(1, 1) model reflecting properties of volatility clustering has the level of $H{\approx}0.5$ on average, long memory properties presented in the data before filtering are no longer observed. That is, we positively find out that the observed long memory properties are considerably due to volatility clustering effect.