310 citations · 565 across the 13 of their papers we have counts for
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Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
Michael Hoffmann, Mathias Vetter
Given an Itō semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the…
On U- and V-statistics for discontinuous Ito semimartingales
Mark Podolskij, Christian Schmidt, Mathias Vetter
In this paper we examine the asymptotic theory for U-statistics and V-statistics of discontinuous Ito semimartingales that are observed at high frequency. For different types of ke…
Nonparametric change-point analysis of volatility
Markus Bibinger, Moritz Jirak, Mathias Vetter
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an Itô semi-martingale, the latter being discretely observe…