Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Podolskij, Mark | de |
dc.contributor.author | Vetter, Mathias | de |
dc.date.accessioned | 2009-10-29T10:27:59Z | - |
dc.date.available | 2009-10-29T10:27:59Z | - |
dc.date.issued | 2009-10-02 | de |
dc.identifier.uri | http://hdl.handle.net/2003/26500 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-818 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823; 28/2009 | de |
dc.subject | central limit theorem | en |
dc.subject | high frequency observations | en |
dc.subject | semimartingale | en |
dc.subject | stable convergence | en |
dc.subject.ddc | 310 | de |
dc.subject.ddc | 330 | de |
dc.subject.ddc | 620 | de |
dc.title | Understanding limit theorems for semimartingales | en |
dc.title.alternative | a small survey | en |
dc.type | Text | de |
dc.type.publicationtype | report | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
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This item is protected by original copyright
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