LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS

DOI10.1017/S0266466613000406zbMath1296.91119arXiv1104.0841OpenAlexW3123736780MaRDI QIDQ3191830

Philippe Soulier, Clifford M. Hurvich, Lajos Horváth, Alexander Aue

Publication date: 25 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.0841

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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