= 2

1 {|M_a|<gn}CT4(u)Lχ(r, u)du
f∞∞ 1 {∣u-a∣<ξn}LX (1 ,u )d u
''
Lχ(r, a)da + θa.s.(1)
= 2

a.s. 2
1 {∣zξn∣<ξn}σ4( a + zξn ) LX ( r, a + zξn )d z
f∞∞ 1 {∣zξn∣<ξn}LX(1, a + zξn)dz
Lχ(r, a)da + oa,s. (1)
Proof of Step 4:
Z∞
-∞
Lχ(r, a)2
MM d a.
(20)
Cn,r
1 L (n_ 1) rJ
l σ 2( Xs )d s
0
√= £ σ2(Xi/n) --n
V n
i =1
1 l ( n_ 1)rJ l ( n_ 1)rJ ∕∙( i+1) /n
-= £ σ2(Xi/n) -√n £ I σ2(Xs)ds
nn i =1 i =1 7i/n
l ( n_ 1)rJ r( i+1) /n
n £
i=1 i/n
(σ 2( Xi/n )
- σ2(Xs)) ds
(21)
and, given the Lipschitz assumption on σ2(∙), the last line in (21) is oP(1) by the same
argument as the one used in Step 1.
Given Steps 1-4 above, it follows that the quadratic variation process of Zn,r is given by
2 [∞ σ4 (a) Lx(r, a)da + 2 [∞ σ4 (a) Lχ(^ a).2 da - 4 [∞ σ4 (a) Lχ(^ a).2 da
-∞ -∞ LX (1, a) -
∞ LX (1, a)
= 2 [∞ σ4 (a) Lχ(r, a)(LX(1,a) - Lχ(r, a)) da. (22)
∞ -QQ LX (1 ,a)
The statement in the theorem then follows.
(i)b Without loss of generality, suppose that r < r'. By noting that
1 l ( n_ 1)rJ l ( n_ 1)rJ
-= £ sn (Xi/n ) -√n £ (Xi+1 /n - Xi/n )2
nn i=1 i =1
1 [( n_ 1) r' ] [( n_ 1) r' ]
= — £ sn(Xi/n) -Vn £ (Xi+1 /n - Xi/n)2,
n i=1 i=1
with Sn(Xi/n) = 0 and (Xi+1 /,n - Xi/n)2 = 0 for i > L(n - 1)rJ, the result then follows by
the continuous mapping theorem.
22
More intriguing information
1. Strategic Policy Options to Improve Irrigation Water Allocation Efficiency: Analysis on Egypt and Morocco2. Commuting in multinodal urban systems: An empirical comparison of three alternative models
3. A simple enquiry on heterogeneous lending rates and lending behaviour
4. THE ECONOMICS OF COMPETITION IN HEALTH INSURANCE- THE IRISH CASE STUDY.
5. AN IMPROVED 2D OPTICAL FLOW SENSOR FOR MOTION SEGMENTATION
6. Ruptures in the probability scale. Calculation of ruptures’ values
7. Reform of the EU Sugar Regime: Impacts on Sugar Production in Ireland
8. The Impact of Financial Openness on Economic Integration: Evidence from the Europe and the Cis
9. A Pure Test for the Elasticity of Yield Spreads
10. The name is absent