The Annals of Applied Probability

Cointegrated processes with infinite variance innovations

Vygantas Paulauskas and Svetlozar T. Rachev

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Abstract

It is widely accepted that the Gaussian assumption is too restrictive to model either financial or some important macroeconomic variables, because their distributions exhibit asymmetry and heavy tails. In this paper we develop the asymptotic theory for econometric cointegration processes under the assumption of infinite variance innovations with different distributional tail behavior. We extend some of the results of Park and Phillips which were derived under the assumption of finite variance errors.

Article information

Source
Ann. Appl. Probab., Volume 8, Number 3 (1998), 775-792.

Dates
First available in Project Euclid: 9 August 2002

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1028903450

Digital Object Identifier
doi:10.1214/aoap/1028903450

Mathematical Reviews number (MathSciNet)
MR1627783

Zentralblatt MATH identifier
0941.62092

Subjects
Primary: 60F17: Functional limit theorems; invariance principles 60H05: Stochastic integrals 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Keywords
Cointegrated processes stable distribution Lévy processes ordinary least-squares estimators

Citation

Paulauskas, Vygantas; Rachev, Svetlozar T. Cointegrated processes with infinite variance innovations. Ann. Appl. Probab. 8 (1998), no. 3, 775--792. doi:10.1214/aoap/1028903450. https://projecteuclid.org/euclid.aoap/1028903450


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