Podolskij, Mark; Schmidt, Christian; Ziegel, Johanna … - School of Economics and Management, University of Aarhus - 2012
This paper presents the asymptotic theory for non-degenerate U-statistics of high frequency observations of continuous Itô semimartingales. We prove uniform convergence in probability and show a functional stable central limit theorem for the standardized version of the U-statistic. The...