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36 E. GONC¸ALVES AND C. M. MARTINS
that the functions ⇢|X| and ⇢X2 are almost equal. Otherwise, in the leptokurtic processes, the Taylor property is present in a significant way, becoming stronger when the kurtosis of the model is also stronger.
Again we conclude that the Taylor property is highly dependent on the greater or lesser weight of the tails of the law of the process under study.
Acknowledgments
The authors are grateful to the referee for his valuable comments.
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(E. Gon¸calves) CMUC, Department of Mathematics, University of Coimbra, Por- tugal
E-mail address: esmerald@mat.uc.pt
(C. M. Martins) Department of Mathematics, University of Coimbra, Portugal E-mail address: cmtm@mat.uc.pt