A CLT For Martingale Transforms With Infinite Variance

Stelios Arvanitis and Alexandros Louka

No 201507, Working Papers from Athens University Of Economics and Business, Department of Economics

Keywords: CLT; Generalized Domain of Attraction; Martingale Transform; Slowly Varying Second Moment; Stationarity; Ergodicity; Matrix Normalization; Linear Model; OLSE; Self-Normalized Wald Tests; Robust- ness; Conditional heteroskedasticity; Gaussian Quasi Likelihood; QMLE; Infinite Fourth Moments; Lepto- kurtosis; GARCH; EGARCH. (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2015-07
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Journal Article: A CLT for martingale transforms with infinite variance (2016)
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