Residential College | false |
Status | 已發表Published |
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 Publication | Communications in Statistics - Theory and Methods |
ISSN | 0361-0926 |
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 |
Language | 英語English |
WOS ID | WOS:000348026500010 |
Scopus ID | 2-s2.0-84913554476 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | University of Macau |
Corresponding Author | Liu,Zhi |
Affiliation | 1.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 Affilication | University 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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