Main Article Content
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.
Keywords
covariation function
infinite variance
FLOM estimator
Article Details
How to Cite
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
