The mahalanobis distance between the hurst coefficient and the Alpha-Stable parameter: An early warning indicator of crises
Journal
International Journal of Pure and Apllied Mathematics
ISSN
1311-8080
1314-3395
Publisher
Academic Publications
Date Issued
2016
Author(s)
Instituto Politécnico Nacional
Cruz-Aké, Salvador
Venegas-Martínez, Francisco
Type
Resource Types::text::Non-primary product
Abstract
The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case. © 2010, Academic Publications, Ltd.; https://ijpam.eu ©The authors.
License
Acceso Abierto
How to cite
Vallejo-Jiménez, B., Venegas-Martínez, F., & Soriano-Morales, Y. V. (2016). The mahalanobis distance between the Hurst coefficient and the alpha-stable parameter: an early warning indicator of crises. In International Journal of Pure and Apllied Mathematics (Vol. 110, Issue 2). Academic Publications. https://doi.org/10.12732/ijpam.v110i2.5