A CLT For Martingale Transforms With Infinite Variance
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- Arvanitis, Stelios & Louka, Alexandros, 2016. "A CLT for martingale transforms with infinite variance," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 116-123.
References listed on IDEAS
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More about this item
Keywords
CLT; Generalized Domain of Attraction; Martingale Transform; Slowly Varying Second Moment; Stationarity; Ergodicity; Matrix Normalization; Linear Model; OLSE; Self-Normalized Wald Tests; Robust- ness; Conditional heteroskedasticity; Gaussian Quasi Likelihood; QMLE; Infinite Fourth Moments; Lepto- kurtosis; GARCH; EGARCH.;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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