Stable limits for sums of dependent infinite variance random variables

Probability Theory and Related Fields

Volumn 150, Issue 3, 2011, Pages 337-372

  Bartkiewicz, Katarzyna ^a   Jakubowski, Adam ^a   Mikosch, Thomas ^b   Wintenberger, Olivier ^c  

^a NICOLAUS COPERNICUS UNIVERSITY   (Poland)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

ARMA process; Characteristic function; GARCH; Mixing; Regular variation; Stable limit distribution; Stationary sequence; Stochastic volatility model; Weak convergence; Weak dependence

Indexed keywords

EID: 80051665323     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00440-010-0276-9     Document Type: Article

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