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Limit Theorems for Functionals of Sums That Converge to Fractional Stable Motions

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Listed author(s):
  • P. Jeganathan

    (Indian Statistical Institute)

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    Abstract

    Too technical to post here. Please see paper.

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    File URL: http://cowles.yale.edu/sites/default/files/files/pub/d15/d1558.pdf
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    Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1558.

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    Length: 67 pages
    Date of creation: Feb 2006
    Date of revision: Mar 2006
    Handle: RePEc:cwl:cwldpp:1558
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    Web page: http://cowles.yale.edu/

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    Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

    Keywords:

    Find related papers by JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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    1. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
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    Cited by:

    1. Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos, 2014. "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 676-712, August.

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