@article{article_306676, title={Infinite-Variance Error Structure in Finance and Economics}, journal={International Econometric Review}, volume={10}, pages={14–23}, year={2018}, DOI={10.33818/ier.306676}, author={Serttaş, Fatma Özgü}, keywords={Infinite-variance errors,Stable distributions,Financial returns,Unit root tests}, abstract={<p> <span style="font-size:12pt;font-family:’Times New Roman’, serif;">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. </span> <br /> </p>}, number={1}, publisher={Econometric Research Association}