Stable limits for sums of dependent infinite variance random variables (Q718889)

The paper provides conditions which ensure that the affine transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to hold are known in the literature. However, most of these results are qualitative in the sense that the parameters of the limit distribution are expressed in terms of some limiting point process. In this paper, the authors determine the parameters of the limiting stable distribution in terms of some tail characteristics of the underlying stationary sequence. The results are applied to some standard time series models, including the GARCH(1,1) process and its squares, the stochastic volatility models and solutions to stochastic recurrence equations.