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Realized volatility when sampling times are possibly endogenous
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Li, Yingying, Mykland, Per A., Renault, Eric, Zhang, Lan and Zheng, Xinghua (2014) Realized volatility when sampling times are possibly endogenous. Econometric Theory, 30 (3). pp. 580-605. doi:10.1017/S0266466613000418 ISSN 0266-4666.
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Official URL: http://dx.doi.org/10.1017/S0266466613000418
Abstract
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 establish a central limit theorem for the tricity under the hypothesis that there is no endogeneity, based on which we propose a test and document that this endogeneity is present in financial data.
Item Type: | Journal Article | ||||||
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Divisions: | Faculty of Social Sciences > Economics | ||||||
Journal or Publication Title: | Econometric Theory | ||||||
Publisher: | Cambridge University Press | ||||||
ISSN: | 0266-4666 | ||||||
Official Date: | June 2014 | ||||||
Dates: |
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Volume: | 30 | ||||||
Number: | 3 | ||||||
Page Range: | pp. 580-605 | ||||||
DOI: | 10.1017/S0266466613000418 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access |
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