Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (Q4906509): Difference between revisions

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scientific article; zbMATH DE number 6139562

Language	Label	Description	Also known as
English	Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances	scientific article; zbMATH DE number 6139562

Statements

instance of

scholarly article

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title

Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (English)

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zbMATH Open document ID

1275.62072

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DOI

10.1239/aap/1354716591

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Advances in Applied Probability

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publication date

28 February 2013

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full work available at URL

https://arxiv.org/abs/1109.5298

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https://projecteuclid.org/euclid.aap/1354716591

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Mathematics Subject Classification ID

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heavy tails

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long-range dependence

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sample autocovariance

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MaRDI profile type

MaRDI publication profile

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Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Regular variation of GARCH processes.

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Q3992980

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Modeling and pricing long memory in stock market volatility

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Extremes of stochastic volatility models

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The detection and estimation of long memory in stochastic volatility

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Stable limits for partial sums of dependent random variables

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Point process and partial sum convergence for weakly dependent random variables with infinite variance

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Point process convergence of stochastic volatility processes with application to sample autocorrelation

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Limit theory for moving averages of random variables with regularly varying tail probabilities

0 references

More limit theory for the sample correlation function of moving averages

0 references

Limit theory for the sample covariance and correlation functions of moving averages

0 references

On the existence of some ARCH\((\infty)\)processes

0 references

Q3860550

0 references

Q5624436

0 references

ARCH-type bilinear models with double long memory.

0 references

A model for long memory conditional heteroscedasticity.

0 references

Sample autocovariances of long-memory time series

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Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

0 references

Subsampling inference for the mean of heavy-tailed long-memory time series

0 references

Parameter estimation for infinite variance fractional ARIMA

0 references

Q5434018

0 references

Conditional Heteroskedasticity in Asset Returns: A New Approach

0 references

Heavy-Tail Phenomena

0 references

The memory of stochastic volatility models

0 references

Closedness in the Semimartingale Topology for Spaces of Stochastic Integrals with Constrained Integrands

0 references

Nonlinear time series with long memory: A model for stochastic volatility

0 references

A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares

0 references

Stochastic-Process Limits

0 references

Covariances Estimation for Long-Memory Processes

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Sitelinks

Mathematics(1 entry)

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+Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Regular variation of GARCH processes.
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@@ Property / cites work @@
+Q3992980
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+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+Extremes of stochastic volatility models
@@ Property / cites work: Extremes of stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Stable limits for partial sums of dependent random variables
+Normal rank
@@ Property / cites work @@
+Point process and partial sum convergence for weakly dependent random variables with infinite variance
+Normal rank
@@ Property / cites work @@
+Point process convergence of stochastic volatility processes with application to sample autocorrelation
+Normal rank
@@ Property / cites work @@
+Limit theory for moving averages of random variables with regularly varying tail probabilities
+Normal rank
@@ Property / cites work @@
+More limit theory for the sample correlation function of moving averages
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample covariance and correlation functions of moving averages
+Normal rank
@@ Property / cites work @@
+On the existence of some ARCH\((\infty)\)processes
+Normal rank
@@ Property / cites work @@
+Q3860550
@@ Property / cites work: Q3860550 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+ARCH-type bilinear models with double long memory.
+Normal rank
@@ Property / cites work @@
+A model for long memory conditional heteroscedasticity.
+Normal rank
@@ Property / cites work @@
+Sample autocovariances of long-memory time series
@@ Property / cites work: Sample autocovariances of long-memory time series / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
+Normal rank
@@ Property / cites work @@
+Subsampling inference for the mean of heavy-tailed long-memory time series
+Normal rank
@@ Property / cites work @@
+Parameter estimation for infinite variance fractional ARIMA
+Normal rank
@@ Property / cites work @@
+Q5434018
@@ Property / cites work: Q5434018 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+The memory of stochastic volatility models
@@ Property / cites work: The memory of stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Closedness in the Semimartingale Topology for Spaces of Stochastic Integrals with Constrained Integrands
+Normal rank
@@ Property / cites work @@
+Nonlinear time series with long memory: A model for stochastic volatility
+Normal rank
@@ Property / cites work @@
+A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares
+Normal rank
@@ Property / cites work @@
+Stochastic-Process Limits
@@ Property / cites work: Stochastic-Process Limits / rank @@
+Normal rank
@@ Property / cites work @@
+Covariances Estimation for Long-Memory Processes
@@ Property / cites work: Covariances Estimation for Long-Memory Processes / rank @@
+Normal rank
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+Publication:4906509