Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Jean Jacod, Mark Podolskij and Mathias Vetter ()
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Mathias Vetter: School of Economics and Management, University of Aarhus, Denmark and CREATES, Postal: 8000 Aarhus C, Denmark

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

Abstract: This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise, which are observed at high frequency. Our method generalizes the pre-averaging approach (see [13],[11]) and provides consistent estimates for various characteristics of general semimartingales. Furthermore, we prove the associated multidimensional (stable) central limit theorems. As expected, we find central limit theorems with a convergence rate n1=4, if n is the number of observations.

Keywords: central limit theorem; high frequency observations; microstructure noise; quadratic variation; semimartingale; stable convergence. (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 59
Date: 2008-12-01
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-61

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