Cointegrated processes with infinite variance innovations
type: Item
instance of: scholarly article
title: Cointegrated processes with infinite variance innovations
zbMATH Open document ID: 0941.62092
author: V. Paulauskas
author: Svetlozar T. Rachev
published in: The Annals of Applied Probability
publication date: 1999-11-23T00:00:00Z
review text: Recently, stable non-Gaussian processes are used to model some important economics variables (in finance or macroeconomics). The authors apply this approach to cointegration theory and obtain a proof of the main asymptotic result under the assumption that innovations are independent, identically distributed and are in the domain of attraction of an \((\alpha_1, \ldots ,\alpha_r)\)-stable law. The paper generalizes some of the results of \textit{J.Y. Park} and {it P.C.B. Phillips} [Econometric Theory 4, No. 3, 468-497 (1988)].
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1319832
reviewed by: Jacek Jakubowski
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1028903450
OpenAlex ID: W2028227589
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DOI: 10.1214/AOAP/1028903450
description: scientific article; zbMATH DE number 1319832