Asymptotic properties of realized power variations and related functionals of semimartingales

Jean Jacod (1)

1 IMJ - Institut de Mathématiques de Jussieu

This paper is concerned with the asymptotic behavior of sums of terms which are a test function f evaluated at successive increments of a discretely sampled semimartingale. Typically the test function is a power function (when the power is 2 we get the realized quadratic variation) . We prove a variety of ``laws of large numbers'', that is convergence in probability of these sums, sometimes after normalization. We also exhibit in many cases the rate of convergence, as well as associated central limit theorems.

Mots clés: central limit theorem; quadratic variation; power variation; semimartingale

Domaines: Probabilités [math.PR]

Jean Jacod. Asymptotic properties of realized power variations and related functionals of semimartingales. 2006. ⟨hal-00023146⟩