THE SUM OF THE RECIPROCAL OF THE RANDOM WALK. (February 2020)
- Record Type:
- Journal Article
- Title:
- THE SUM OF THE RECIPROCAL OF THE RANDOM WALK. (February 2020)
- Main Title:
- THE SUM OF THE RECIPROCAL OF THE RANDOM WALK
- Authors:
- Michel, Jon
de Jong, Robert - Abstract:
- Abstract : This paper derives the limit distribution of the rescaled sum of the reciprocal of the positive part of a random walk with continuously distributed innovations, and of the rescaled sum of the reciprocal of the absolute value of a random walk with continuously distributed innovations. It also considers this statistic for the case of a simple random walk, and shows that the limit distribution is different for this case.
- Is Part Of:
- Econometric theory. Volume 36:Number 1(2020)
- Journal:
- Econometric theory
- Issue:
- Volume 36:Number 1(2020)
- Issue Display:
- Volume 36, Issue 1 (2020)
- Year:
- 2020
- Volume:
- 36
- Issue:
- 1
- Issue Sort Value:
- 2020-0036-0001-0000
- Page Start:
- 170
- Page End:
- 183
- Publication Date:
- 2020-02
- Subjects:
- Econometrics -- Periodicals
330.01519505 - Journal URLs:
- http://journals.cambridge.org/action/displayJournal?jid=ECT ↗
- DOI:
- 10.1017/S0266466618000464 ↗
- Languages:
- English
- ISSNs:
- 0266-4666
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital Store
- Ingest File:
- 14577.xml