Stable limits for sums of dependent infinite variance random variables
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Publication:718889
DOI10.1007/s00440-010-0276-9zbMath1231.60017arXiv0906.2717MaRDI QIDQ718889
Katarzyna Bartkiewicz, Adam Jakubowski, Olivier Wintenberger, Thomas Mikosch
Publication date: 27 September 2011
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.2717
weak convergence; regular variation; characteristic function; mixing; GARCH; ARMA process; stationary sequence; weak dependence; stochastic volatility model; stable limit distribution
60F05: Central limit and other weak theorems
60G70: Extreme value theory; extremal stochastic processes
60G52: Stable stochastic processes
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