Convergence to Stochastic Integrals with Non-linear integrands. by Caceres, C, Nielsen, B

“…In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and Phillips' (2004) Theorem 8.2. …”

Test for cointegration rank in general vector autoregressions. by Nielsen, B

“…To prove the results the convergence of stochastic integrals with respect to singular explosive processes is considered.…”