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Equivalence and bifurcations of finite order stochastic processes

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  • Diks C.G.H.

    ()
    (Universiteit van Amsterdam)

  • Wagener, F.O.O.

    ()
    (Universiteit van Amsterdam)

Abstract

This article presents an equivalence notion of finite order stochastic processes. Local dependence measures are defined in terms of joint and marginal densities. The dependence measures are classified topologically using level sets. The corresponding bifurcation theory is illustrated with some simple examples.

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File URL: http://www1.fee.uva.nl/cendef/publications/papers/stoch_bif.pdf
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Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 05-09.

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Date of creation: 2005
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Handle: RePEc:ams:ndfwpp:05-09

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Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
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Web page: http://www.fee.uva.nl/cendef/
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  1. Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
  2. Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1081-1100.
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