Limit theorems for moving averages of discretized processes plus noise (Q973875)

The paper presents some limit theorems for suitable functionals of moving averages of semimartingales plus noise which are observed at high frequency (hence the term microstructure noise is used). It generalizes the pre-averaging approach [see \textit{J. Jacod, Y. Li, P. Mykland, M. Podolskij} and \textit{M. Vetter} [Stochastic Processes Appl. 119, 2249--2276 (2009; Zbl 1166.62078)] and \textit{M. Podolskij} and \textit{M. Vetter} [Bernoulli 15, 634--658 (2009; Zbl 1200.62131)] and provides consistent estimates for various characterictics of general semimartingales. Some associated multidimensional (stable) central limit theorems (CLT) are proved (these CLT have the convergence rate \(n^-1/4\), where \(n\) is the number of observations).