On some new results for cointegrated processes with infinite variance innovations

zbMATH Open0984.62066MaRDI QIDQ2769701

Vygantas Paulauskas

Publication date: 13 May 2002

zbMATH Keywords

tablesmaximum likelihoodordinary least squares

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 (1)

ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS

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