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Persistent link: https://www.econbiz.de/10003864181
We establish sufficient conditions on durations that arestationary with finite variance and memory parameter $d \in[0,1/2)$ to ensure that the corresponding counting process $N(t)$satisfies $Var N(t) \sim C t^{2d+1}$ ($Cgt;0$) as $t\rightarrow \infty$, with the same memory parameter $d...
Persistent link: https://www.econbiz.de/10012765956