Search Results - subject:"Infinite variance"

Beware the Gini index! : a new inequality measure

Inoua, Sabiou M. - 2021

Persistent link: https://www.econbiz.de/10012651658

A family of nonparametric unit root tests for processes driven by infinite variance innovations

Gogebakan, Kemal Caglar - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 705-721

Persistent link: https://www.econbiz.de/10013554942

A note on the LSE of three-regime TAR model with an infinite variance

Yang, Yaxing; Ling, Shiqing - In: Annals of financial economics 13 (2018) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10011931160

Infinite-Variance Error Structure in Finance and Economics

Serttas, Fatma Ozgu - In: International Econometric Review (IER) 10 (2018) 1, pp. 14-23

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 …

Persistent link: https://www.econbiz.de/10012610969

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 455-475

Persistent link: https://www.econbiz.de/10011649139

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - 2015

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

Persistent link: https://www.econbiz.de/10011382237

Do financial returns have finite or infinite variance? A paradox and an explanantion

Grabchak, Michael; Samorodnitsky, Gennady - 2009

One of the major points of contention in studying and modeling financial returns is whether or not the variance of the returns is finite or infinite (sometimes referred to as the Bachelier-Samuelson Gaussian world versus the Mandelbrot stable world). A different formulation of the question asks...

Persistent link: https://www.econbiz.de/10009466156

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - 2015

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

Persistent link: https://www.econbiz.de/10011460615

Exploiting infinite variance through Dummy Variables in non-stationary autoregressions

Cavaliere, Giuseppe; Georgiev, Iliyan - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013

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

Persistent link: https://www.econbiz.de/10010903770

Delay moment bounds for multiserver queues with infinite variance service times

Vesilo, Rein; Scheller-Wolf, Alan - In: INFOR : information systems and operational research 51 (2013) 4, pp. 161-174

Persistent link: https://www.econbiz.de/10010475788