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- W3086580137 abstract "We consider a class of perpetuities which admit direct characterization of asymptotics of the key truncated moment. The class contains perpetuities without polynomial decay of tail probabilities thus not satisfying Kesten’s theorem. We show how to apply this result in deriving a new weak law of large numbers for solutions to stochastic recurrence equations and a new central limit theorem for GARCH(1,1) processes in the critical case." @default.
- W3086580137 created "2020-09-21" @default.
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- W3086580137 date "2021-01-01" @default.
- W3086580137 modified "2023-09-26" @default.
- W3086580137 title "Truncated moments of perpetuities and a new central limit theorem for GARCH processes without Kesten’s regularity" @default.
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- W3086580137 doi "https://doi.org/10.1016/j.spa.2020.09.003" @default.
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