Authors
Citation
Ps. Kokoszka et Ms. Taqqu, INFINITE VARIANCE STABLE MOVING AVERAGES WITH LONG MEMORY, Journal of econometrics, 73(1), 1996, pp. 79-99
Citations number
19
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
ISSN journal
03044076
Volume
73
Issue
1
Year of publication
1996
Pages
79 - 99
Database
ISI
SICI code
0304-4076(1996)73:1<79:IVSMAW>2.0.ZU;2-T
Abstract
We investigate the notion of long memory for infinite variance moving
averages with stable non-Gaussian innovations and regularly varying co
efficients. Regularly varying coefficients decay to zero like j(p)L(j)
as j --> infinity, where L is a slowly varying function. We study the
asymptotic behavior of two measures of dependence, the codifference a
nd the covariation, which are extensions of the covariance.