Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
DOI10.1239/aap/1354716591zbMath1275.62072arXiv1109.5298OpenAlexW2001089051MaRDI QIDQ4906509
Publication date: 28 February 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.5298
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)
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Cites Work
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