Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies

DOI10.1214/13-AAP965zbMath1429.62371arXiv1407.0518MaRDI QIDQ744376

Viktor Todorov, George Tauchen

Publication date: 25 September 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.0518

zbMATH Keywords

jumps; stochastic volatility; high-frequency data; stable process; Kolmogorov-Smirnov test; Itô semimartingale

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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