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

DOI10.1239/jap/1085496594zbMath1021.60038OpenAlexW2106783049MaRDI QIDQ3147830

Publication date: 15 October 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/66fc27da228d02aa41df75b9f312f2fc5641288b

zbMATH Keywords

regular variation mixing condition financial time series vague convergence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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