A functional limit theorem for dependent sequences with infinite variance stable limits

Annals of Probability

Volumn 40, Issue 5, 2012, Pages 2008-2033

  Basrak, Bojan ^a   Krizmanic, Danijel ^b   Segers, Johan ^c  

^a UNIVERSITY OF ZAGREB   (Croatia)

^b University of Rijeka   (Croatia)

^c UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Convergence in distribution; functional limit theorem; GARCH; Mixing; oving average; Partial sum; Point processes; Regular variation; Spectral processes; Stable processes; Tochastic volatility

Indexed keywords

EID: 84872580081     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AOP669     Document Type: Article

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