Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances

DOI10.1239/aap/1354716591zbMath1275.62072arXiv1109.5298OpenAlexW2001089051MaRDI QIDQ4906509

Rafał Kulik, Philippe Soulier

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

zbMATH Keywords

heavy tailslong-range dependencesample autocovariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

A unified approach to self-normalized block sampling ⋮ On the measurement and treatment of extremes in time series ⋮ Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise

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