Residential College | false |
Status | 已發表Published |
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 Publication | Communications in Statistics - Theory and Methods |
ISSN | 1532415X 03610926 |
Volume | 43Issue: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. |
Keyword | Central Limit Theorem Endogeneity High Frequency Data Ito Jumps Semimartingale |
DOI | 10.1080/03610926.2012.730169 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Statistics & Probability |
WOS ID | WOS:000348026500010 |
Scopus ID | 2-s2.0-84913554476 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF MATHEMATICS |
Affiliation | 1.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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