Infinite variance stable moving averages with long memory

DOI10.1016/0304-4076(95)01734-8zbMath0857.62087OpenAlexW2064773114MaRDI QIDQ1922360

Murad S. Taqqu, Piotr S. Kokoszka

Publication date: 2 March 1997

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01734-8

zbMATH Keywords

time serieslong memorycovariationmeasures of dependencecodifferenceinfinite variance moving averagesregularly varying coefficientsstable non-Gaussian innovations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• INFINITE VARIANCE STABLE ARMA PROCESSES

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