for infinitely divisible processes such as Levy correlation cascade or codifference. We show that for analyzed tempered … stable process the rate of decay of the Levy correlation cascade is different than in the stable case, while the codifference …

. The heavy-tailed processes are ubiquitous in nature and finance. We here discuss codifference as a convenient measure to … Gaussian processes codifference is equivalent to covariance. For processes with finite variance these two measures behave … similarly with time. For the processes with infinite variance the covariance does not exist, however, the codifference is …

We derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models …

- the codifference - which extends the behavior of the covariance function to situations where the covariance function is no …