Infinite-Variance Error Structure in Finance and Economics

Fatma Özgü Serttaş [1]

31 33

Many macroeconomic and financial data exhibit large outliers and high volatility so that their returns are usually modeled to follow an infinite-variance stable process. Extreme behaviors in such data tend to exist especially for emerging markets due to frequent existence of high economic turmoil. A relatively new area of research studies that model the financial returns as infinite-variance stable errors exists for emerging markets as well as for industrialized countries. This study aims to briefly introduce the reader the concept of infinite-variance stable distributions, discuss some existing studies on unit root and co-integration tests that assume infinite-variance stable error structure, and then to point out the potential lines of research while showing the significance of this relatively new concept.

Infinite-variance errors, Stable distributions, Financial returns, Unit root tests
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Konular
Dergi Bölümü Makaleler
Yazarlar

Yazar: Fatma Özgü Serttaş
Ülke: Turkey


Bibtex @ { ier306676, journal = {International Econometric Review}, issn = {1308-8793}, eissn = {1308-8815}, address = {Ekonometrik Araştırmalar Derneği}, year = {}, volume = {10}, pages = {14 - 23}, doi = {}, title = {Infinite-Variance Error Structure in Finance and Economics}, key = {cite}, author = {Serttaş, Fatma Özgü} }
APA Serttaş, F . (). Infinite-Variance Error Structure in Finance and Economics. International Econometric Review, 10 (1), 14-23. Retrieved from http://dergipark.gov.tr/ier/issue/36562/306676
MLA Serttaş, F . "Infinite-Variance Error Structure in Finance and Economics". International Econometric Review 10 (): 14-23 <http://dergipark.gov.tr/ier/issue/36562/306676>
Chicago Serttaş, F . "Infinite-Variance Error Structure in Finance and Economics". International Econometric Review 10 (): 14-23
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EndNote %0 International Econometric Review Infinite-Variance Error Structure in Finance and Economics %A Fatma Özgü Serttaş %T Infinite-Variance Error Structure in Finance and Economics %D 2018 %J International Econometric Review %P 1308-8793-1308-8815 %V 10 %N 1 %R %U
ISNAD Serttaş, Fatma Özgü . "Infinite-Variance Error Structure in Finance and Economics". International Econometric Review 10 / 1 14-23.