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On integrated volatility of Itô semimartingales when sampling times are endogenous
Li,Cui Xia1; Chen,Jin Yuan1; Liu,Zhi2; Jing,Bing Yi1,3
2014-12-17
Source PublicationCommunications in Statistics - Theory and Methods
ISSN0361-0926
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
Language英語English
WOS IDWOS:000348026500010
Scopus ID2-s2.0-84913554476
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Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorLiu,Zhi
Affiliation1.School of Mathematics and Statistics,Lanzhou University,Lanzhou,China
2.Department of Mathematics,University of Macau,Macua,Macao
3.Department of Mathematics,Hong Kong University of Science and Technology,Kowloon,Clear Water Bay,Hong Kong
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Li,Cui Xia,Chen,Jin Yuan,Liu,Zhi,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,Cui Xia., Chen,Jin Yuan., Liu,Zhi., & Jing,Bing Yi (2014). On integrated volatility of Itô semimartingales when sampling times are endogenous. Communications in Statistics - Theory and Methods, 43(24), 5263-5275.
MLA Li,Cui Xia,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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