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High frequency statistics of semimartingales
If you have a question about this talk, please contact Quentin Berthet.
In this talk we present a short survey about limit theorems for high frequency functionals of semimartingales and their statistical applications. This mathematical field was popularized by Jean Jacod in the middle of 90’s and it found manifold applications in mathematical finance. We review the basic probabilistic ideas and try to understand the non-classical statistical nature of high frequency data. We demonstrate some of the most popular statistical applications of the asymptotic theory.
This talk is part of the Statistics series.
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