Understanding limit theorems for semimartingales

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.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.identifier.uri	http://hdl.handle.net/2003/26500
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-818
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

Files

Now showing 1 - 1 of 1