Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients

Agnieszka Wyłomańska

No HSC/04/06, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: We derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models with symmetric alpha-stable innovations and non-stationary coefficients.

Keywords: ARMA model; Stable distribution; Codifference; Covariation (search for similar items in EconPapers)
JEL-codes: C16 C22 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2004
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