Advances in Risk Management

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 301

Consequently:

nlim→∞√∑wt ̃ut

∑w 2

t

=nlim→∞

∑n

t= 1

logφu ̃

(

wth

∑

w^2 t

)

=−

h^2

2

and

nlim→∞φ ̃u

(

wth

∑

w^2 t

)

=e−

h 22

which is the characteristic function of the Normal probability distribution.

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