The distributional properties of shocks to a fractional I(d) process having a marginal exponential distribution

Clive Granger and Yongil Jeon

Applied Financial Economics, 2001, vol. 11, issue 5, 469-474

Abstract: This paper establishes practical criteria for selecting amongst hypothetical data generating processes in cases where the series has long memory and exponential distribution which implies that the innovations have extremely fat tails.

Date: 2001
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DOI: 10.1080/096031001752236744

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