The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and other works. We show that the limiting aggregate of the (G)eneralized LARCH(1,1) process in...

In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in <italic>Econometric Theory</italic> concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals. In a later paper (Caner, 1998) the...