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arXiv · 1403.0217

High-frequency asymptotics for path-dependent functionals of Ito semimartingales

Moritz Duembgen·Mark Podolskij
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Abstract

The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and ranges in the infill asymptotics setting. In this paper we establish the asymptotic theory for a wide class of statistics that are built from the incremental process of an Ito semimartingale. More specifically, we will show the law of large numbers and the associated stable central limit theorem for the path dependent functionals in the continuous and discontinuous framework. Some examples from economics and physics demonstrate the potential applicability of our theoretical results in practice.

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Moritz Duembgen, Mark Podolskij. 2014-03-02. High-frequency asymptotics for path-dependent functionals of Ito semimartingales. https://arxiv.org/abs/1403.0217

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