Central limit theorems for realized volatility under hitting times of an irregular grid

DOI10.1016/j.spa.2012.08.005zbMath1255.60034OpenAlexW1983366846MaRDI QIDQ713209

Mathieu Rosenbaum, Masaaki Fukasawa

Publication date: 26 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.08.005

zbMATH Keywords

central limit theoremhitting timesstable convergencesemi-martingalesirregular grid

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes (62M99) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17)

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