Realized volatility with stochastic sampling
نویسندگان
چکیده
منابع مشابه
Realized Volatility When Sampling Times
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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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2010.02.006