COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”
From MaRDI portal
Publication:5199500
DOI10.1017/S0266466610000538zbMath1274.62935OpenAlexW1992561544MaRDI QIDQ5199500
Frank J. Fabozzi, Svetlozar T. Rachev, Vygantas Paulauskas
Publication date: 16 August 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466610000538
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
Related Items
TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS, The power of unit root tests under local-to-finite variance errors
Cites Work
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
- Asymptotics for linear processes
- Cointegrated processes with infinite variance innovations
- Tests for cointegration with infinite variance errors
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Statistical inference in regression with heavy-tailed integrated variables
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Incomplete markets: convergence of options values under the minimal martingale measure
