On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous

DOI10.1080/03610926.2012.730169zbMath1307.62064OpenAlexW1965553239MaRDI QIDQ5177619

Bing-Yi Jing, Cui-Xia Li, Jinyuan Chen, Zhi Liu

Publication date: 13 March 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.730169

zbMATH Keywords

endogeneityjumpshigh frequency dataItô semimartingalecentral liomit theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

Cites Work

• Irregular sampling and central limit theorems for power variations: the continuous case
• Pricing and hedging long-term options
• Asymptotic properties of realized power variations and related functionals of semimartingales
• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The Distribution of Realized Exchange Rate Volatility
• Option pricing when underlying stock returns are discontinuous
• Modeling and Forecasting Realized Volatility

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