Irregular sampling and central limit theorems for power variations: the continuous case
type: Item
instance of: scholarly article
title: Irregular sampling and central limit theorems for power variations: the continuous case
zbMATH Open document ID: 1271.62198
DOI: 10.1214/11-AIHP432
author: Takaki Hayashi
author: Jean Jacod
author: Nakahiro Yoshida
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2013-03-26T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.aihp/1317906508
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 6148905
zbMATH Keywords: quadratic variation
zbMATH Keywords: discrete observations
zbMATH Keywords: power variations
zbMATH Keywords: high-frequency data
zbMATH Keywords: stable convergence
MaRDI profile type: Publication
cites work: Power Variation and Time Change
cites work: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
cites work: Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
cites work: Central limit theorem for the realized volatility based on tick time sampling
cites work: Q4311643
cites work: Covariance measurement in the presence of non-synchronous trading and market microstructure noise
cites work: On covariance estimation of non-synchronously observed diffusion processes
cites work: Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
cites work: Estimating functions for diffusion-type processes
cites work: Asymptotic properties of realized power variations and related functionals of semimartingales
cites work: Asymptotic error distributions for the Euler method for stochastic differential equations
cites work: Q4778955
cites work: Fourier series method for measurement of multivariate volatilities
cites work: ANOVA for diffusions and Itō processes
OpenAlex ID: W2049289474
Recommended article: Central limit theorems for power variation of Gaussian integral processes with jumps
Recommended article: Power limits for central order statistics. I. Continuous limit laws
Recommended article: A central limit theorem for certain nonlinear statistics in repeated sampling of a finite population
Recommended article: Q4365116
Recommended article: On the continuation of the limit distribution of central order statistics under power normalization
Recommended article: Q4841038
Recommended article: Q4259429
Recommended article: On regularly varying moments for power series distributions
Recommended article: A central limit theorem for a weighted power variation of a Gaussian process
description: scientific article; zbMATH DE number 6148905