Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances (Q4906509)
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scientific article; zbMATH DE number 6139562
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| English | Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances |
scientific article; zbMATH DE number 6139562 |
Statements
Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (English)
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28 February 2013
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heavy tails
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long-range dependence
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sample autocovariance
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0.7860909104347229
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0.7812116742134094
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0.7747237682342529
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0.7739458680152893
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0.7737418413162231
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