Intermittency and infinite variance: the case of integrated supOU processes
Leonenko, Nikolai N.
Taqqu, Murad S.
MetadataShow full item record
First author draft
Citation (published version)Danijel Grahovac, Nikolai N Leonenko, Murad S Taqqu. "Intermittency and infinite variance: the case of integrated supOU processes."
SupOU processes are superpositions of Ornstein-Uhlenbeck type processes with a random intensity parameter. They are stationary processes whose marginal distribution and dependence structure can be specified independently. Integrated supOU processes have then stationary increments and satisfy central and non-central limit theorems. Their moments, however, can display an unusual behavior known as ``intermittency''. We show here that intermittency can also appear when the processes have a heavy tailed marginal distribution and, in particular, an infinite variance.