THE COVARIATION FUNCTION FOR SYMMETRIC &ALPHA;-STABLE RANDOM VARIABLES WITH FINITE FIRST MOMENTS

Dedi Rosadi

doi:10.22342/jims.15.1.39.1-12

Dedi Rosadi ⁽¹⁾

(1) Department of Mathematics, Gadjah Mada University, Indonesia, Indonesia

https://doi.org/10.22342/jims.15.1.39.1-12

Issue
Volume 15 Number 1 (April 2009)

Submitted
April 29, 2012

Accepted
May 7, 2012

Published
May 7, 2012

Keywords:

covariation function, infinite variance, FLOM estimator

PDF

Abstract

In this paper, we discuss a generalized dependence measure which is designed to measure dependence of two symmetric α-stable random variables with finite mean(1<α<=2) and contains the covariance function as the special case (when α=2). Weshortly discuss some basic properties of the function and consider several methods to estimate the function and further investigate the numerical properties of the estimatorusing the simulated data. We show how to apply this function to measure dependence of some stock returns on the composite index LQ45 in Indonesia Stock Exchange.

DOI : http://dx.doi.org/10.22342/jims.15.1.39.1-12

Full text article

Generated from XML file

Authors

Dedi Rosadi

Department of Mathematics, Gadjah Mada University, Indonesia

penulis@jims-a.org (Primary Contact)

Rosadi, D. (2012). THE COVARIATION FUNCTION FOR SYMMETRIC &ALPHA;-STABLE RANDOM VARIABLES WITH FINITE FIRST MOMENTS. Journal of the Indonesian Mathematical Society, 15(1), 1–12. https://doi.org/10.22342/jims.15.1.39.1-12