recent developments in high frequency financial ... - Index of

248 J. M. Rodríguez-Poo et al.
(B.1) The kernel function K(·) is of order k>3/2 with support [−1, 1] and it has
bounded k + 2 derivatives.
(B.2) For r = 1,...,10 + k the functions ∂ r ϕ(m)/∂m r and ∂ r V (µ)/∂µ r exist and
they are bounded in their respective supports.
(B.3) d is a strong mixing process where the mixing coefficients must satisfy for some
p>2 and r being a positive integer
∞�
i r−1 α(i) 1−2/p < ∞.
i=1
Furthermore, for some even integer q satisfying (k+2)(3+2k)
(2k−3)
E � |d| q� 0 there exists a δ>0 such that
�
sup sup �φϑ1 (t′ ) − φ(t ′ ) � �