Diagnostic checking in linear processes with infinite variance
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Publication:1600532
DOI10.1016/S0895-7177(01)00120-0zbMATH Open1003.62074MaRDI QIDQ1600532FDOQ1600532
Authors: Walter Krämer, Ralf Runde 
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
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Cites Work
- Time series: theory and methods.
- A Method for Simulating Stable Random Variables
- Title not available (Why is that?)
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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- Modeling asset returns with alternative stable distributions*
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Limit theory for the sample covariance and correlation functions of moving averages
- The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
Cited In (3)
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