A CLT for martingale transforms with infinite variance
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DOI: 10.1016/j.spl.2016.07.015
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- Stelios Arvanitis & Alexandros Louka, 2015. "A CLT For Martingale Transforms With Infinite Variance," Working Papers 201507, Athens University Of Economics and Business, Department of Economics.
References listed on IDEAS
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More about this item
Keywords
CLT; Generalized domain of attraction; Martingale transform; Matrix normalization; Self-normalized wald tests; QMLE;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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