The asymptotic codifference and covariation of log-fractional stable noise

DOI10.1016/j.jeconom.2014.02.006zbMath1311.60054OpenAlexW2052314397MaRDI QIDQ2451783

Joshua B. Levy, Murad S. Taqqu

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.02.006

zbMATH Keywords

long-range dependence\(\alpha\)-stable distributionsasymptotic dependencefractional stable noise

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

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Cites Work

• Estimating the codifference function of linear time series models with infinite variance
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• Long-Term Memory in Stock Market Prices
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