Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kesten’s regularity-Reference-Cited by-同舟云学术

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Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kesten’s regularity

Published:2021-01 Issue: Volume:131 Page:151-171
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Jakubowski Adam,Szewczak Zbigniew S.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference38 articles.

1. On distributional properties of perpetuities;Alsmeyer;J. Theor. Probab.,2009

2. HandBook of Financial Time Series,2009

3. Stable limits for sums of dependent infinite variance random variables;Bartkiewicz;Probab. Theory Related Fields,2011

4. Regular variation of GARCH processes;Basrak;Stochastic Process. Appl.,2002

5. Regular Variation;Bingham,1989

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