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Persistent link: https://www.econbiz.de/10000909193
The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
Persistent link: https://www.econbiz.de/10011302620
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