COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”
In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in <italic>Econometric Theory</italic> concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals. In a later paper (Caner, 1998) the results for these limit relations are used to formulate tests for cointegration with infinite variance errors.
Year of publication: |
2011
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Authors: | Paulauskas, Vygantas ; Rachev, Svetlozar T. ; Fabozzi, Frank J. |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 27.2011, 04, p. 907-911
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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