Weak convergence to stochastic integrals for econometric applications
Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on functional weak convergence. In establishing such convergence, the literature commonly uses martingale and semimartingale structures. While these structures have wide relevanc...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2016
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1945 https://ink.library.smu.edu.sg/context/soe_research/article/2944/viewcontent/WeakConvergenceSchochasticIntegrals_2014_pp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |