Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales

DOI10.1016/j.spa.2012.11.003zbMath1274.60063MaRDI QIDQ1940236

Jean Jacod, Viktor Todorov, Assane Diop

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.11.003

zbMATH Keywords

central limit theorem; Itô semimartingale; pure jump processes; Quadratic variation; approximate quadratic variation; stable convergence in law

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60F05: Central limit and other weak theorems

60G07: General theory of stochastic processes

60F17: Functional limit theorems; invariance principles