The asymptotic codifference and covariation of log-fractional stable noise
Joshua B. Levy; Murad S. Taqqu
| Year of publication: |
2014
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|---|---|
| Authors: | Levy, Joshua B. ; Taqqu, Murad S. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 181.2014, 1, p. 34-43
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| Subject: | α-stable distributions | Asymptotic dependence | Fractional stable noise | Long-range dependence | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Korrelation | Correlation | Noise Trading | Noise trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010473427