On U- and V-statistics for discontinuous Ito semimartingales

Mark Podolskij, Christian Schmidt, Mathias Vetter

Published 2015-05-22Version 1

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 kernel functions we show laws of large numbers and associated stable central limit theorems. In most of the cases the limiting process will be conditionally centered Gaussian. The structure of the kernel function determines whether the jump and/or the continuous part of the semimartingale contribute to the limit.