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 ...

Jianguo Sun, Empirical Estimation of a Distribution Function with Truncated and Doubly Interval-Censored Data and Its Application to AIDS Studies, Biometrics, Vol. 51, No. 3 (Sep., 1995), pp.

Limit Theorems for the Empirical Distribution Function of Scaled Increments of Ito Semimartingales at High Frequencies. Annals of Applied Probability. 1850-1888.