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On integrated volatility of Itô semimartingales when sampling times are endogenous
Li C.-X.1; Chen J.-Y.1; Liu Z.2; Jing B.-Y.1,3
2014-12-17
Source PublicationCommunications in Statistics - Theory and Methods
ISSN1532415X 03610926
Volume43Issue:24Pages:5263-5275
Abstract

In this paper, we estimate the integrated volatility of Itô semimartingale when sampling times are endogenous. The estimator is proved to be consistent, and is robust to jumps, regardless of whether they are finite and infinite activity jumps. We also establish a central limit theorem for the estimator in a general endogenous time setting when the jumps have finite variation. Simulation is also included to illustrate the performance of the proposed procedure.

KeywordCentral Limit Theorem Endogeneity High Frequency Data Ito Jumps Semimartingale
DOI10.1080/03610926.2012.730169
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000348026500010
Scopus ID2-s2.0-84913554476
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Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Affiliation1.Lanzhou University
2.Universidade de Macau
3.Hong Kong University of Science and Technology
Recommended Citation
GB/T 7714
Li C.-X.,Chen J.-Y.,Liu Z.,et al. On integrated volatility of Itô semimartingales when sampling times are endogenous[J]. Communications in Statistics - Theory and Methods, 2014, 43(24), 5263-5275.
APA Li C.-X.., Chen J.-Y.., Liu Z.., & Jing B.-Y. (2014). On integrated volatility of Itô semimartingales when sampling times are endogenous. Communications in Statistics - Theory and Methods, 43(24), 5263-5275.
MLA Li C.-X.,et al."On integrated volatility of Itô semimartingales when sampling times are endogenous".Communications in Statistics - Theory and Methods 43.24(2014):5263-5275.
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