Limit theorems for moving averages of discretized processes plus noise
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Author / Producer
Date
2010
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
External links
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Book title
Journal / series
Volume
38 (3)
Pages / Article No.
1478 - 1545
Publisher
Institute of Mathematical Statistics
Event
Edition / version
Methods
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Date collected
Date created
Subject
Central limit theorem; High-frequency observations; Microstructure noise; Quadratic variation; Semimartingale; Stable convergence
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received December 2008, Revised June 2009.