Infinite variance stable moving averages with long memory
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References listed on IDEAS
- 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.
- 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.
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012.
"Understanding the source of multifractality in financial markets,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 391(17), pages 4234-4251.
- 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.
- Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 04 Nov 2005.
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