Realized Volatility When Sampling Times can be Endogenous ∗
نویسندگان
چکیده
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.
منابع مشابه
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