Exponential functionals of integrated processes
This paper derives a limit distribution result involving exponential functionals of integrated processes. This implies the availability of an additional class of functions for which the limit behavior of the average of a function of an integrated process is well-established.
Year of publication: |
2008
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Authors: | Lee, Jungick ; Jong, Robert M. de |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 2, p. 181-184
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Publisher: |
Elsevier |
Saved in:
Online Resource
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