Understanding limit theorems for semimartingales: a short survey

Mark Podolskij () and Mathias Vetter ()
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Mathias Vetter: Ruhr-University of Bochum, Postal: Ruhr-Universität Bochum, Fakultät für Mathematik, 44780 Bochum, Germany

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

Abstract: This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We show some laws of large numbers (for the continuous and the discontinuous case) that are the most interesting from a practical point of view, and demonstrate the associated stable central limit theorems. Moreover, we state a simple sketch of the proofs and give some examples.

Keywords: central limit theorem; high frequency observations; semimartingale; stable convergence (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 21
Date: 2009-10-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2009-47

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