Central limit theorem for the realized volatility based on tick time sampling
From MaRDI portal
Publication:2430257
DOI10.1007/s00780-008-0087-3zbMath1224.62040OpenAlexW2054588562MaRDI QIDQ2430257
Publication date: 6 April 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0087-3
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (13)
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model ⋮ REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS ⋮ Parametric inference for diffusions observed at stopping times ⋮ Goodness of fit test for ergodic diffusions by tick time sample scheme ⋮ Irregular sampling and central limit theorems for power variations: the continuous case ⋮ An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory ⋮ Discretization error of stochastic integrals ⋮ Volatility inference in the presence of both endogenous time and microstructure noise ⋮ Estimation of integrated quadratic covariation with endogenous sampling times ⋮ Realized volatility with stochastic sampling ⋮ Central limit theorems for realized volatility under hitting times of an irregular grid ⋮ Functional stable limit theorems for quasi-efficient spectral covolatility estimators ⋮ Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
Cites Work
- ANOVA for diffusions and Itō processes
- Estimating quadratic variation when quoted prices change by a constant increment
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Asymptotic error distributions for the Euler method for stochastic differential equations
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A Tale of Two Time Scales
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Central limit theorem for the realized volatility based on tick time sampling
