Stable limits for sums of dependent infinite variance random variables

Author:

Bartkiewicz Katarzyna,Jakubowski Adam,Mikosch Thomas,Wintenberger Olivier

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Reference54 articles.

1. Andersen, T.G., Davis, R.A., Kreiss, J.-P., Mikosch, T. (eds): The Handbook of Financial Time Series. Springer, Heidelberg (2009)

2. Balan R.M., Louhichi S.: Convergence of point processes with weakly dependent points. J. Theor. Probab. 22, 955–982 (2009)

3. Bartkiewicz, K.: Limit Theorems for Generalized Autoregressive Processes. Ph.D. thesis, Nicolaus Copernicus University, Toruń (in Polish) (2007)

4. Basrak B., Davis R.A., Mikosch T.: The sample ACF of a simple bilinear process. Stoch. Proc. Appl. 83, 1–14 (1999)

5. Basrak B., Davis R.A., Mikosch. T.: Regular variation of GARCH processes. Stoch. Proc. Appl. 99, 95–116 (2002)

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