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Limit Theorems for moving averages of discretized processes plus noise

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Jean Jacod, Institut de Mathématiques de Jussieu, France
  • Mark Podolskij
  • Mathias Vetter, Ruhr Universität of Bochum, Germany
Original languageEnglish
JournalAnnals of Statistics
Pages (from-to)1478-1545
Number of pages68
Publication statusPublished - 1 Jun 2010
Externally publishedYes

    Research areas

  • Central limit theorem, High-frequency observations, Microstructure noise, Quadratic variation, Semimartingale, Stable convergence

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