Liang, Hanying; Phillips, Peter C.B.; Wang, Hanchao; … - Cowles Foundation for Research in Economics, Yale University - 2014
Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on function space weak convergence. In establishing weak convergence of sample covariances to stochastic integrals, the literature commonly uses martingale and semimartingale...