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Infinite variance stable moving averages with long memory

✍ Scribed by Piotr S. Kokoszka; Murad S. Taqqu

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
848 KB
Volume
73
Category
Article
ISSN
0304-4076

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## Abstract This paper investigates the long‐run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy‐tailed stochastic processes. More specifically, residual‐based and likelihood‐ratio‐based cointegration tests of PPP that explicitly allow for i