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On U- and V-statistics for discontinuous Itô semimartingale

Publikation: Working paper/Preprint Working paperForskning

Standard

On U- and V-statistics for discontinuous Itô semimartingale. / Podolskij, Mark; Schmidt, Christian; Vetter, Mathias.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

Publikation: Working paper/Preprint Working paperForskning

Harvard

Podolskij, M, Schmidt, C & Vetter, M 2015 'On U- and V-statistics for discontinuous Itô semimartingale' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Podolskij, M., Schmidt, C., & Vetter, M. (2015). On U- and V-statistics for discontinuous Itô semimartingale. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-52

CBE

Podolskij M, Schmidt C, Vetter M. 2015. On U- and V-statistics for discontinuous Itô semimartingale. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Podolskij, Mark, Christian Schmidt og Mathias Vetter On U- and V-statistics for discontinuous Itô semimartingale. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal nr. 2015-52). 2015., 44 s.

Vancouver

Podolskij M, Schmidt C, Vetter M. On U- and V-statistics for discontinuous Itô semimartingale. Aarhus: Institut for Økonomi, Aarhus Universitet. 2015 nov 26.

Author

Podolskij, Mark ; Schmidt, Christian ; Vetter, Mathias. / On U- and V-statistics for discontinuous Itô semimartingale. Aarhus : Institut for Økonomi, Aarhus Universitet, 2015. (CREATES Research Papers; Nr. 2015-52).

Bibtex

@techreport{21c10318004c4106946e3bab3ad4b510,
title = "On U- and V-statistics for discontinuous It{\^o} semimartingale",
abstract = "In this paper we examine the asymptotic theory for U-statistics and V-statistics of discontinuous It{\^o} 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.",
keywords = "central limit theorems,It^o semimartingales, stable convergence, U-statistics",
author = "Mark Podolskij and Christian Schmidt and Mathias Vetter",
year = "2015",
month = nov,
day = "26",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2015-52",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - On U- and V-statistics for discontinuous Itô semimartingale

AU - Podolskij, Mark

AU - Schmidt, Christian

AU - Vetter, Mathias

PY - 2015/11/26

Y1 - 2015/11/26

N2 - 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.

AB - 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.

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

M3 - Working paper

T3 - CREATES Research Papers

BT - On U- and V-statistics for discontinuous Itô semimartingale

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -