Comment on ``Weak convergence to a matrix stochastic integral with stable processes

DOI10.1017/S0266466610000538zbMATH Open1274.62935OpenAlexW1992561544MaRDI QIDQ5199500FDOQ5199500

Authors: Frank J. Fabozzi, V. Paulauskas, Svetlozar T. Rachev 

Publication date: 16 August 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000538

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Central limit and other weak theorems (60F05)

Cites Work

• Asymptotics for linear processes
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Tests for cointegration with infinite variance errors
• Statistical inference in regression with heavy-tailed integrated variables
• Cointegrated processes with infinite variance innovations
• Asymptotic inference in time series regressions with a unit root and infinite variance errors
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
• Incomplete markets: convergence of options values under the minimal martingale measure
• MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS

Cited In (2)

• Time series regression on integrated continuous-time processes with heavy and light tails
• The power of unit root tests under local-to-finite variance errors

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