Understanding limit theorems for semimartingales: a short survey

By Mark Podolskij, Mathias Vetter. 2009

76 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/64d03560e9238934b818c2a9d823a33550c07c8a

Citations in the corpus

• Systemic Co-Jumps (2017, unknown): “Each component of X can be decomposed in a standard way [see, e.g. Podolskij and Vetter, 2010]: X (k) t = Z (k) t (q) + J̃t(q), k = 1, ..., N, (A.29) where Z (k) t (q) = ∫ t 0 a(k)s ds+ ∫ t 0 σsdWs + ∫ t 0 ∫ |γ(k)(ω,x,s)|>1/q γ(k)(ω, x, s)µ(k)(ω, x, s) + ∫ t 0 ∫ |γ(c)(ω,x,s)|>1/q γ(c)(ω, x,…”
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (2011, unknown): “See for example [28] for details.”