Estimating the codifference function of linear time series models with infinite variance

Metrika

Volumn 73, Issue 3, 2011, Pages 395-429

  Rosadi, Dedi ^a   Deistler, Manfred ^b  

^a GADJAH MADA UNIVERSITY   (Indonesia)

^b VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

ARMA; Codifference; Empirical characteristic function; Infinite variance

Indexed keywords

EID: 79952986407     PISSN: 00261335     EISSN: 1435926X     Source Type: Journal    
DOI: 10.1007/s00184-009-0285-9     Document Type: Article

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