REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
نویسندگان
چکیده
منابع مشابه
Realized Volatility When Sampling times Are Possibly Endogenous
When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time setting. We ∗We are grateful to Andrew Patton and Neil Shephard, and the participants of the Stevanov...
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When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time setting. We ∗We are grateful to Andrew Patton and Neil Shephard, and the participants of the Stevanov...
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When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time setting. We also document that this endogeneity can be present in financial data.
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2013
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466613000418