This paper is a survey of the main results on the central limit theorem (CLT) and its invariance principle (IP) for mixing sequences that have been obtained in the probabilistic literature in the last fifty years or so with a view towards econometric applications. Each of these theorems...

This paper analyzes the implications of autoregressive betas in single factor models for the statistical properties of stock returns. It is demonstrated that this assumption alone is sufficient to account for the most important stylized facts of stock returns, namely conditional...

This paper develops the asymptotic theory for stable autoregressive models in which the noise variance grows in a polynomial-like fashion. It is shown that the asymptotic distribution of the OLS estimator of the coefficient vector is multivariate normal with a covariance matrix that depends on...

This paper develops the asymptotic theory for stable autoregressive models in which the noise variance grows in a polynomial-like fashion. It is shown that the asymptotic distribution of the OLS estimator of the coefficient vector is multivariate normal with a covariance matrix that depends on...