{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T08:11:29Z","timestamp":1774339889882,"version":"3.50.1"},"reference-count":17,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2011,3,3]],"date-time":"2011-03-03T00:00:00Z","timestamp":1299110400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2011,8]]},"abstract":"<jats:p>In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in <jats:italic>Econometric Theory<\/jats: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 results for these limit relations are used to formulate tests for cointegration with infinite variance errors.<\/jats:p>","DOI":"10.1017\/s0266466610000538","type":"journal-article","created":{"date-parts":[[2011,3,3]],"date-time":"2011-03-03T04:44:26Z","timestamp":1299127466000},"page":"907-911","source":"Crossref","is-referenced-by-count":3,"title":["COMMENT ON \u201cWEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES\u201d"],"prefix":"10.1017","volume":"27","author":[{"given":"Vygantas","family":"Paulauskas","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Svetlozar T.","family":"Rachev","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Frank J.","family":"Fabozzi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2011,3,3]]},"reference":[{"key":"S0266466610000538_ref16","doi-asserted-by":"publisher","DOI":"10.1137\/1101022"},{"key":"S0266466610000538_ref15","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1029955260"},{"key":"S0266466610000538_ref11","doi-asserted-by":"publisher","DOI":"10.1016\/S0895-7177(01)00123-6"},{"key":"S0266466610000538_ref9","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080365"},{"key":"S0266466610000538_ref8","unstructured":"Ferstl Ch . (2009) Cointegration in Discrete and Continuous Time. Ph.D. thesis. Technical University of Munich, http:\/\/www-m4.ma.tum.de\/Diplarb\/DA-Ferstl.pdf."},{"key":"S0266466610000538_ref7","doi-asserted-by":"publisher","DOI":"10.1002\/jae.711"},{"key":"S0266466610000538_ref6","doi-asserted-by":"publisher","DOI":"10.1007\/s10463-006-0060-x"},{"key":"S0266466610000538_ref4","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600005983"},{"key":"S0266466610000538_ref1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176989938"},{"key":"S0266466610000538_ref10","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176990334"},{"key":"S0266466610000538_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00112-7"},{"key":"S0266466610000538_ref13","doi-asserted-by":"crossref","first-page":"775","DOI":"10.1214\/aoap\/1028903450","article-title":"Cointegrated processes with infinite variance innovations","volume":"8","author":"Paulauskas","year":"1998","journal-title":"Annals of Applied Probability"},{"key":"S0266466610000538_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-3758(02)00236-7"},{"key":"S0266466610000538_ref12","volume-title":"Stochastic Differential Equations","author":"\u00d8ksendal","year":"2000"},{"key":"S0266466610000538_ref2","first-page":"25","volume-title":"Advances in Econometrics: Applying Kernel and Nonparametric Estimation to Economic Topics","volume":"14","author":"Boswijk","year":"2000"},{"key":"S0266466610000538_ref17","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080286"},{"key":"S0266466610000538_ref14","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466610000538","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,27]],"date-time":"2019-04-27T03:28:42Z","timestamp":1556335722000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466610000538\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,3,3]]},"references-count":17,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2011,8]]}},"alternative-id":["S0266466610000538"],"URL":"https:\/\/doi.org\/10.1017\/s0266466610000538","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,3,3]]}}}