Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients
AbstractWe derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models with symmetric alpha-stable innovations and non-stationary coefficients.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/04/06.
Length: 9 pages
Date of creation: 2004
Date of revision:
ARMA model; Stable distribution; Codifference; Covariation;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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