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 ...
A gauge function $V$ for the differential equation (S) $x' = f(x, t)$ is a scalar-valued function sufficiently smooth for $dV(\phi (t), t)/dt$ to exist almost ...
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