Necessary conditions for the existence of conditional moments of stable random variables
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References listed on IDEAS
- Cioczek-Georges, Renata & Taqqu, Murad S., 1994. "How do conditional moments of stable vectors depend on the spectral measure?," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 95-111, November.
- Samorodnitsky, Gennady & Taqqu, Murad S., 1991. "Conditional moments and linear regression for stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 39(2), pages 183-199, December.
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Cited by:
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Kokoszka, Piotr S. & Taqqu, Murad S., 1996. "Infinite variance stable moving averages with long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 79-99, July.
- Albin, J. M. P., 1997. "Extremes for non-anticipating moving averages of totally skewed [alpha]-stable motion," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 289-297, December.
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- Kokoszka, Piotr S. & Taqqu, Murad S., 1996. "Infinite variance stable moving averages with long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 79-99, July.
- Albin, J. M. P., 1997. "Extremes for non-anticipating moving averages of totally skewed [alpha]-stable motion," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 289-297, December.
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Keywords
Stable distributions Bivariate stable distributions Conditional moments Regression;Statistics
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