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

DOI10.1016/J.SPA.2012.11.003MaRDI QIDQ1940236zbMATH OpenOpenAlexFDO

Authors Assane Diop, Jean Jacod, Viktor Todorov

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

approximate quadratic variationcentral limit theoremItô semimartingalepure jump processesQuadratic variationstable convergence in law

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) General theory of stochastic processes (60G07) Processes with independent increments; Lévy processes (60G51)

Review text

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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Cited in

(10)

• On estimation of quadratic variation for multivariate pure jump semimartingales
• Econometrics of co-jumps in high-frequency data with noise
• Discretization error of irregular sampling approximations of stochastic integrals
• On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales
• Power variation from second order differences for pure jump semimartingales
• Central limit theorems for discretized occupation time functionals
• Small time central limit theorems for semimartingales with applications
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• Inference for the jump part of quadratic variation of Itô semimartingales
• High-dimensional estimation of quadratic variation based on penalized realized variance

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