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Necessary conditions for the existence of conditional moments of stable random variables

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  • Cioczek-Georges, Renata
  • Taqqu, Murad S.

Abstract

Let (X1, X2) be a symmetric [alpha]-stable random vector with 0

Suggested Citation

  • Cioczek-Georges, Renata & Taqqu, Murad S., 1995. "Necessary conditions for the existence of conditional moments of stable random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 233-246, April.
  • Handle: RePEc:eee:spapps:v:56:y:1995:i:2:p:233-246
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    References listed on IDEAS

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    1. 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.
    2. 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:

    1. 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.
    2. 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.
    3. 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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    1. 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.
    2. 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.
    3. 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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