Asymptotic properties of realized power variations and related functionals of semimartingales

Jean Jacod

Stochastic Processes and their Applications, 2008, vol. 118, issue 4, 517-559

Abstract: This paper is concerned with the asymptotic behavior of sums of the form , where X is a 1-dimensional semimartingale and f a suitable test function, typically f(x)=xr, as [Delta]n-->0. We prove a variety of "laws of large numbers", that is convergence in probability of Un(f)t, sometimes after normalization. We also exhibit in many cases the rate of convergence, as well as associated central limit theorems.

Keywords: Central; limit; theorem; Quadratic; variation; Power; variation; Semimartingale (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (129)

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