Autor(en): | Podolskij, Mark Vetter, Mathias |
Titel: | Understanding limit theorems for semimartingales |
Sonstige Titel: | a small survey |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | central limit theorem high frequency observations semimartingale stable convergence |
URI: | http://hdl.handle.net/2003/26500 http://dx.doi.org/10.17877/DE290R-818 |
Erscheinungsdatum: | 2009-10-02 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
028.pdf | DNB | 299.81 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt.
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