High-frequency asymptotics for path-dependent functionals of Itô semimartingales
نویسندگان
چکیده
منابع مشابه
High-frequency asymptotics for path-dependent functionals of Itô semimartingales
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 proc...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2015
ISSN: 0304-4149
DOI: 10.1016/j.spa.2014.08.007