THE SUM OF THE RECIPROCAL OF THE RANDOM WALK

B-Tier
Journal: Econometric Theory
Year: 2020
Volume: 36
Issue: 1
Pages: 170-183

Authors (2)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper derives the limit distribution of the rescaled sum of the reciprocal of the positive part of a random walk with continuously distributed innovations, and of the rescaled sum of the reciprocal of the absolute value of a random walk with continuously distributed innovations. It also considers this statistic for the case of a simple random walk, and shows that the limit distribution is different for this case.

Technical Details

RePEc Handle
repec:cup:etheor:v:36:y:2020:i:1:p:170-183_5
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25