On U- and V-statistics for discontinuous Itô semimartingale

Publikation: Working paperForskning

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  • rp15_52

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  • Mark Podolskij
  • Christian Schmidt, Danmark
  • Mathias Vetter, Christian-Albrechts-Universität zu Kiel, Tyskland
In this paper we examine the asymptotic theory for U-statistics and V-statistics of discontinuous Itô semimartingales that are observed at high frequency. For different types of kernel functions we show laws of large numbers and associated stable central limit theorems. In most of the cases the limiting process will be conditionally centered Gaussian. The structure of the kernel function determines whether the jump and/or the continuous part of the semimartingale contribute to the limit.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider44
StatusUdgivet - 26 nov. 2015
SerietitelCREATES Research Papers
Nummer2015-52

    Forskningsområder

  • central limit theorems,It^o semimartingales, stable convergence, U-statistics

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