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.

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Year of publication:	2008
Authors:	Lee, Jungick ; Jong, Robert M. de
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 2, p. 181-184
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005355945