THE COVARIATION FUNCTION FOR SYMMETRIC Α-STABLE RANDOM VARIABLES WITH FINITE FIRST MOMENTS

Dedi Rosadi

Abstract


In this paper, we discuss a generalized dependence measure which is designed to measure dependence of two symmetric &alpha;-stable random variables with finite mean(1<&alpha;<=2) and contains the covariance function as the special case (when &alpha;=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


Keywords


covariation function, infinite variance, FLOM estimator

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

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Journal of the Indonesian Mathematical Society
Mathematics Department, Universitas Gadjah Mada
Senolowo, Sinduadi, Mlati, Sleman Regency, Special Region of Yogyakarta 55281, Telp. (0274) 552243
Email: jims.indoms@gmail.com


p-ISSN: 2086-8952 | e-ISSN: 2460-0245


Journal of the Indonesian Mathematical Society is licensed under a Creative Commons Attribution 4.0 International License

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