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dc.contributor.authorBartkiewicz, Katarzyna
dc.contributor.authorJakubowski, Adam
dc.contributor.authorMikosch, Thomas
dc.contributor.authorWintenberger, Olivier
dc.date.accessioned2017-03-18T12:07:53Z
dc.date.available2017-03-18T12:07:53Z
dc.date.issued2011
dc.identifier.issn0178-8051
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16394
dc.language.isoenen
dc.subjectStationary sequence
dc.subjectStable limit distribution
dc.subjectWeak convergence
dc.subjectMixing
dc.subjectWeak dependence
dc.subjectCharacteristic function
dc.subjectRegular variation
dc.subjectGARCH
dc.subjectStochastic volatility model
dc.subjectARMA process
dc.subject.ddc519en
dc.titleStable limits for sums of dependent infinite variance random variables
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to hold are known in the literature. However, most of these results are qualitative in the sense that the parameters of the limit distribution are expressed in terms of some limiting point process. In this paper we will be able to determine the parameters of the limiting stable distribution in terms of some tail characteristics of the underlying stationary sequence. We will apply our results to some standard time series models, including the GARCH(1, 1) process and its squares, the stochastic volatility models and solutions to stochastic recurrence equations.
dc.relation.isversionofjnlnameProbability Theory and Related Fields
dc.relation.isversionofjnlvol150
dc.relation.isversionofjnlissue3-4
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages337-372
dc.relation.isversionofdoi10.1007/s00440-010-0276-9
dc.identifier.urlsitehttps://arxiv.org/abs/0906.2717v4
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-09-25T12:08:54Z


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