THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II

By James Davidson, R. Jong. Econometric Theory, 2000

89 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/abca150b091d020c5b96e2a3833bd17adab814d5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Weilin Xiao
2. James Davidson
3. Jun Yu
4. Xiaofeng Shao
5. Manabu Asai
6. Peter C. B. Phillips
7. Søren Johansen
8. Christian Conrad

In Statistics and Probability

1. Weilin Xiao
2. James Davidson
3. Jun Yu
4. Ignacio N. Lobato
5. Michael Jansson
6. Katsumi Shimotsu

Citations in the corpus

• A model of fractional cointegration, and tests for cointegration using the bootstrap☆ (2002, methodology): “Given that moments of order strictly exceeding 2 are sufficient for the FCLT, according to Davidson and de Jong (2000) , the conjecture may not be unreasonable, though a proof is currently lacking.”
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018, background): “Davydov (1970) and Sowell (1990) related the process in (1.”