Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales (Q1940236)
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English | Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales |
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Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales (English)
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6 March 2013
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In this work central limit theorems for the discretization error of the quadratic variation are developed. The authors focus on Itô semimartingales with vanishing continuous martingale part and the discrete-time approximation of quadratic variation from regularly spaced high-frequency observations. Functional central limit theorems are established for two distinct cases. For processes of finite variation involving a drift the discretization error from n observations converges with rate n to a limiting process which comprises a term induced by the drift and a cross term induced by jumps and the drift. For infinite variation processes or a vanishing drift different rates of convergence and limiting processes are deduced.
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Quadratic variation
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Itô semimartingale
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pure jump processes
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approximate quadratic variation
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central limit theorem
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stable convergence in law
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