Finite variance

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  • Chapter 3 REFINEMENTS OF THE LIMIT THEOREMS FOR NORMAL CONVERGENCE § 1 . Introduction In this chapter we consider a sequence X 1 , X2 , . . . of independent, identically distributed random variables belonging to the domain of attraction of the normal law. As shown in § 2 .6, the X; necessarily have a finite variance a 2 .

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  • Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. In this book I bring together some of the main papers which have influenced the field of the econometrics of stochastic volatility with the hope that this will allow students and scholars to place this literature in a wider context.

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  • Next, we can modify our model to account for different firm sizes. For notational convenience and ease of exposition, we have used a continuum model. A firm hires a unit mass of consumers. The size of the firm then becomes a normalization and hence has no bearing on the dynamics and steady-state properties. In practice, firms hire a finite number of workers, and the law of large number becomes a poor approximation when the firm is small. Even when a small firm draws from the same work force as any other firm, the variance of workers’ health-care cost may be larger.

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