Since the seminal work of Mandelbrot (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical...

(Logan, Mallows, Rice & Shepp 1973) analyse the limit probability distribution of the statistic <InlineEquation ID="IEq1"> <EquationSource Format="TEX">${S_n}\left( p \right)=\sum\nolimits_{i=1} {{X_i}/{{\left( {{{\sum\nolimits_{i=1} {|{X_j}|} }^p}} \right)}^{1/p}}}$</EquationSource> </InlineEquation> as n → ∞, when X{ini} is in the domain of attraction of a stable law with...</equationsource></inlineequation>

The European Central Bank uses a monetary strategy which represents a combination of monetary targeting and direct inflation targeting. In this context, the stability of the long-run European money demand function is widely seen as a precondition for a strategy of monetary targeting. This paper...

This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator...

This paper analyses the relation between money and inflation in Germany in a cost-push/demand-pull model of an open small economy by means of cointegration methods. The full-information-maximum-likelihood method of Johansen as well as structural methods are applied to data subsets and the full...