Stock returns are often modeled as having infinite second or fourth moments with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple Pareto tail index estimate. In a recent study...

We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than true innovations...

Two different estimation techniques for the spectrum of a nonstationary time series are compared empirically. Both of them are assuming a time-dependent autoregressive (AR-) model for the data. The first estimation technique used is the Frequency State Dependent Model (FSDM-) technique (Schmitz...