Infinite variance stable moving averages with long memory
Work
Year: 1996
Type: article
Abstract: We investigate the notion of long memory for infinite variance moving averages with stable non-Gaussian innovations and regularly varying coefficients. Regularly varying coefficients decay to zero lik... more
Source: Journal of Econometrics
Authors Piotr Kokoszka, Murad S. Taqqu
Institution Boston University
Cites: 16
Cited by: 30
Related to: 10
FWCI: 0.913
Citation percentile (by year/subfield): 86.26
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $3,700