We derive limit theorems for the empirical distribution function of "devolatilized" increments of an Ito semimartingale observed at high frequencies. These "devolatilized" increments are formed by ...
https://doi.org/10.4169/college.math.j.45.1.054 https://www.jstor.org/stable/10.4169/college.math.j.45.1.054 Summary We present a result of Rosenthal, which shows ...
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