Diagnostic Checking in Linear Processes With Infinite Variance (2007)
Walter Krämer, Walter Kr Amer, Ralf Runde
We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable...
On the existence of moments - With an application to German stock returns (2007)
Stock returns are often modeled as having infinite second or fourth moments, with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are...
Peaks or tails - What distinguishes financial data? (1999)
We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from "normal" variables. We show that...
On the existence of moments (1998)
Stock returns are often modeled as having infinite second or fourth moments, with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are...
Autokorrelationstests bei Cauchy-Verteilten Zufallsvariablen (1998)
In dieser Arbeit wird die asymptotische Nullverteilung des empirischen Autokorrelationskoeffizienten und des von Neumann ratio hergeleitet, wenn die Stichprobe aus einer Cauchy-verteilten...
Diagnostic checking in linear processes with infinite variance (1998)
We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable...
We consider the asymptotic null distribution of the empirical autocorrelation function when the innovations of a moving average process belong to the normal domain of attraction of a Cauchy law. A...
Peaks or tails - What distinguishes financial data?
We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from "normal" variables. We show that...
Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?
We try to replicate the findings in Saunders (1993) that stock prices are "systematically affected by local weather." Using German data, we find that whether or not the null hypothesis of no...
Stochastic Properties of German Stock Returns.
We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various...
We consider the asymptotic null distribution of the empirical autocorrelation function when the innovations of a moving average process belong to the normal domain of attraction of a Cauchy law. A...
A note on the asymptotic distribution of the F-statistic for random variables with infinite variance
For two independent samples of independent random variables with probability distribution in the domain of attraction of a stable law with characteristic exponent [alpha] (1 < [alpha] < 2), the...