Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
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Publication:4906509
DOI10.1239/aap/1354716591zbMath1275.62072arXiv1109.5298MaRDI QIDQ4906509
Publication date: 28 February 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.5298
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
60G70: Extreme value theory; extremal stochastic processes
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