Understanding limit theorems for semimartingales: a short survey

DOI10.1111/J.1467-9574.2010.00460.XMaRDI QIDQ6573274FDOQ6573274

Authors: Mark Podolskij, Mathias Vetter 

Publication date: 16 July 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

central limit theoremsemimartingalestable convergencehigh frequency observations

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Stochastic processes (60Gxx) Limit theorems in probability theory (60Fxx)

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
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• La variation d'ordre p des semi-martingales
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• On mixing and stability of limit theorems
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Limit theorems for multipower variation in the presence of jumps
• Limit theorems for bipower variation of semimartingales
• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• A note on the central limit theorem for bipower variation of general functions

Cited In (2)

• Local Parametric Estimation in High Frequency Data
• Limit theorems for general functionals of Brownian local times

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