TY  - JOUR
TT  - Infinite-Variance Error Structure in Finance and Economics
AU  - Serttaş, Fatma Özgü
PY  - 2018
DA  - April
DO  - 10.33818/ier.306676
JF  - International Econometric Review
JO  - IER
PB  - Econometric Research Association
WT  - DergiPark
SN  - 1308-8793
SP  - 14
EP  - 23
VL  - 10
IS  - 1
KW  - Infinite-variance errors
KW  - Stable distributions
KW  - Financial returns
KW  - Unit root tests
N2  - Many macroeconomic andfinancial data exhibit large outliers and high volatility so that their returnsare usually modeled to follow an infinite-variance stable process. Extremebehaviors in such data tend to exist especially for emerging markets due tofrequent existence of high economic turmoil. A relatively new area of research studiesthat model the financial returns as infinite-variance stable errors exists foremerging markets as well as for industrialized countries. This study aims tobriefly introduce the reader the concept of infinite-variance stabledistributions, discuss some existing studies on unit root and co-integrationtests that assume infinite-variance stable error structure, and then to pointout the potential lines of research while showing the significance of this relativelynew concept.
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UR  - https://doi.org/10.33818/ier.306676
L1  - https://dergipark.org.tr/en/download/article-file/457765
ER  -