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Infinite variance stable moving averages with long memory

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  • Kokoszka, Piotr S.
  • Taqqu, Murad S.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3VW1TT8-4/2/b34bf49ab81492663cf17e436b572ff6
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 73 (1996)
    Issue (Month): 1 (July)
    Pages: 79-99

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    Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:79-99

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Cioczek-Georges, Renata & Taqqu, Murad S., 1994. "How do conditional moments of stable vectors depend on the spectral measure?," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 95-111, November.
    2. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
    3. Samorodnitsky, Gennady & Taqqu, Murad S., 1991. "Conditional moments and linear regression for stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 39(2), pages 183-199, December.
    4. Cioczek-Georges, Renata & Taqqu, Murad S., 1995. "Necessary conditions for the existence of conditional moments of stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 233-246, April.
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    Cited by:
    1. Jozef Barunik & Tomaso Aste & Tiziana Di Matteo & Ruipeng Liu, 2012. "Understanding the source of multifractality in financial markets," Papers 1201.1535, arXiv.org, revised Jan 2012.
    2. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004.

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