Department of Economics and Business Economics

Mikko Pakkanen

Limit theorems for power variations of ambit fields driven by white noise

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  • Rp13 01

    Submitted manuscript, 655 KB, PDF document

We study the asymptotic behavior of lattice power variations of two-parameter ambit fields that are driven by white noise. Our first result is a law of large numbers for such power variations. Under a constraint on the memory of the ambit field, normalized power variations are shown to converge to certain integral functionals of the volatility field associated to the ambit field, when the lattice spacing tends to zero. This law of large numbers holds also for thinned power variations that are computed by only including increments that are separated by gaps with a particular asympotic behavior. Our second result is a related stable central limit theorem for thinned power variations. Additionally, we provide concrete examples of ambit fields that satisfy the assumptions of our limit theorems.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages28
Publication statusPublished - 11 Jan 2013
SeriesCREATES Research Papers

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