Comment on ``Weak convergence to a matrix stochastic integral with stable processes
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Publication:5199500
Recommendations
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Cointegrated processes with infinite variance innovations
- Weak convergence of multivariate fractional processes
Cites work
- 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
- Asymptotics for linear processes
- Cointegrated processes with infinite variance innovations
- Incomplete markets: convergence of options values under the minimal martingale measure
- MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Statistical inference in regression with heavy-tailed integrated variables
- Tests for cointegration with infinite variance errors
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
- Weak limit theorems for stochastic integrals and stochastic differential equations
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