Measures of Dependence for Infinite Variance Distributions

In this paper, we introduce the signed symmetric covariation coefficient and give its main properties. Links with the generalized association parameter, put forward by Paulauskas and now called alpha-correlation, are addressed. Then a general result allows to define a new measure of dependance for distributions with infinite variance. We also propose an estimation procedure for this coefficient. Then the signed symmetric autocovariation function is defined for a stationary stable process.