modeled to follow an infinite-variance stable process. Extreme behaviors in such data tend to exist especially for emerging … returns as infinite-variance stable errors exists for emerging markets as well as for industrialized countries. This study … aims to briefly introduce the reader the concept of infinite-variance stable distributions, discuss some existing studies …

and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly …

and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly …

We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance …

We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance …

) some innovation in the VAR has an infinite-variance distribution and (2) the matrix ofcoefficients on the contemporaneous …

) some innovation in the VAR has an infinite-variance distribution and (2) the matrix of coefficients on the contemporaneous …

are also all likely to be non-Gaussian alpha stable. When one or more error terms have infinite variance, V cannot be … arbitrary sets of identifying restrictions, including even the null set. Hence, with one or more infinite-variance error terms …

standardized shocks that are also all likely to be non-Gaussian alpha stable. When one or more error terms have infinite variance … result holds with arbitrary sets of identifying restrictions, including even the null set. Hence, with one or more infinite-variance …