Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2009
high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of … presents a short survey on limit theorems for certain functionals of
semimartingales, which are observed at high frequency. Our ….
Moreover, we state a simple sketch of the proofs and give some examples.
Keywords: central limit theorem, high frequency …