High-frequency asymptotics for path-dependent functionals of Ito semimartingales

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Duembgen, Moritz¹  Podolskij, Mark² 

[1] Univ Cambridge, Cambridge CB2 1TN, England

[2] Heidelberg Univ, D-69115 Heidelberg, Germany

关键词: High frequency data;    Limit theory;    Semimartingales;    Stable convergence;   

DOI  :  10.1016/j.spa.2014.08.007

来源: Elsevier

【 摘 要 】

The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and ranges in the infill asymptotics setting. In this paper we establish the asymptotic theory for a wide class of statistics that are built from the incremental process of an Ito semimartingale. More specifically, we will show the law of large numbers and the associated stable central limit theorem for the path dependent functionals in the continuous setting, and discuss the asymptotic theory for range-based statistics in the discontinuous framework. Some examples from economics and physics demonstrate the potential applicability of our theoretical results in practice. (C) 2015 Published by Elsevier B.V.

【 授权许可】

Free