Point process convergence of stochastic volatility processes with application to sample autocorrelation

Journal of Applied Probability

Volumn 38A, Issue , 2001, Pages 93-104

  Davis, Richard A ^a   Mikosch, Thomas ^b,c  

^a Department of Environmental and Radiological Health Sciences   (United States)

^b UNIVERSITY OF GRONINGEN   (Netherlands)

^c UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Financial time series; Heavy tail; Mixing condition; Point process; Sample autocorrelation; Sample autocovariance; Slowly varying model; Stationary process; Vague convergence, regular variation

Indexed keywords

EID: 84872241540     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1085496594     Document Type: Article

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