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

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.

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Year of publication:	2001
Authors:	Granger, Clive ; Jeon, Yongil
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 11.2001, 5, p. 469-474
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009200917