کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156422 958829 2015 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
High-frequency asymptotics for path-dependent functionals of Itô semimartingales
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
High-frequency asymptotics for path-dependent functionals of Itô semimartingales
چکیده انگلیسی

The estimation of local characteristics of Itô 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 Itô 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 setting, and discuss the asymptotic theory for range-based statistics in the discontinuous framework. Some examples from economics and physics demonstrate the potential applicability of our theoretical results in practice.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 4, April 2015, Pages 1195–1217
نویسندگان
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