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

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

Richard A. Davis, Thomas Mikosch

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

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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