Search Results - subject:"codifference"

Measures of dependence for Ornstein–Uhlenbeck processes with tempered stable distribution

Wylomanska, Agnieszka - Hugo Steinhaus Center for Stochastic Methods, … - 2011

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 …

Persistent link: https://www.econbiz.de/10010626140

Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients

Wylomanska, Agnieszka - Hugo Steinhaus Center for Stochastic Methods, … - 2004

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

Persistent link: https://www.econbiz.de/10009003611

Dependence structure of stable R-GARCH processes

Nowicka-Zagrajek, Joanna; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2001

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

Persistent link: https://www.econbiz.de/10009003625