On U- and V-statistics for discontinuous Itô semimartingale

Mark Podolskij (), Christian Schmidt () and Mathias Vetter ()
Additional contact information
Mark Podolskij: Aarhus University, Department of Mathematics and CREATES, Postal: Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark
Christian Schmidt: Aarhus University, Department of Mathematics and CREATES, Postal: Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark
Mathias Vetter: Christian-Albrechts-Universität zu Kiel, Mathematisches Seminar, Postal: Christian-Albrechts-Universität zu Kiel Ludewig-Meyn-Strasse 4, 24118 Kiel, Germany

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: 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.

Keywords: central limit theorems; It^o semimartingales; stable convergence; U-statistics. (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 44
Date: 2015-11-20
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/15/rp15_52.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2015-52

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().