Authors: Podolskij, Mark
Vetter, Mathias
Title: Understanding limit theorems for semimartingales
Other Titles: a small survey
Language (ISO): en
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.
Subject Headings: central limit theorem
high frequency observations
stable convergence
Issue Date: 2009-10-02
Appears in Collections:Sonderforschungsbereich (SFB) 823

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