Exponential functionals of integrated processes
Jungick Lee and
Robert de Jong
Economics Letters, 2008, vol. 100, issue 2, 181-184
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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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:2:p:181-184
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