Cointegrated processes with infinite variance innovations

DOI10.1214/aoap/1028903450zbMath0941.62092OpenAlexW2028227589MaRDI QIDQ1296604

Svetlozar T. Rachev, Vygantas Paulauskas

Publication date: 23 November 1999

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903450

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Related Items (13)

Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations ⋮ A Note on Unit Root Tests with Infinite Variance Noise ⋮ Unit root tests and dramatic shifts with infinite variance processes ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS ⋮ COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” ⋮ The power of unit root tests under local-to-finite variance errors ⋮ SUBSAMPLING THE JOHANSEN TEST WITH STABLE INNOVATIONS ⋮ MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS ⋮ Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence ⋮ Statistical inference in regression with heavy-tailed integrated variables ⋮ Maximum likelihood estimators in regression models with infinite variance innovations

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