Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238828 
Year of Publication: 
2018
Citation: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 10 [Issue:] 1 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2018 [Pages:] 14-23
Publisher: 
Econometric Research Association (ERA), Ankara
Abstract: 
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 cointegration 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.
Subjects: 
Infinite-Variance Errors
Stable Distributions
Financial Returns
Unit Root Tests
Co-Integration Tests
JEL: 
C21
C22
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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