Cointegrated processes with infinite variance innovations

• 成果类型: Article
• 署名作者: Paulauskas, V; Rachev, ST
• 署名单位: Vilnius University; University of California System; University of California Santa Barbara
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1998
• 页码: 775-792
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; time-series regression; exchange-rates; vectors

摘要

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.