LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS

DOI10.1017/S0266466613000406zbMath1296.91119arXiv1104.0841MaRDI QIDQ3191830

Philippe Soulier, Clifford M. Hurvich, Lajos Horváth, Alexander Aue

Publication date: 25 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.0841

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

60F17: Functional limit theorems; invariance principles

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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