Realized Volatility When Sampling Times can be Endogenous ∗

@inproceedings{Li2009RealizedVW,
  title={Realized Volatility When Sampling Times can be Endogenous ∗},
  author={Yingying Li and Per Aslak Mykland},
  year={2009}
}
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 document that this endogeneity can be present in financial data. 

From This Paper

Figures, tables, and topics from this paper.
3 Citations
24 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 24 references

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions,

  • Y. Aı̈t-Sahalia, P. A. Mykland
  • Econometrica
  • 2003
Highly Influential
4 Excerpts

Non-Gaussian Ornstein-Uhlenbeck-Based Models And Some Of Their Uses In Financial Economics,

  • O. E. Barndorff-Nielsen, N. Shephard
  • Journal of the Royal Statistical Society, B,
  • 2001
Highly Influential
6 Excerpts

On Mixing and Stability of Limit Theorems,

  • D. J. Aldous, G. K. Eagleson
  • Annals of Probability,
  • 1978
Highly Influential
4 Excerpts

A structural autoregressive conditional duration model , ” ( in preparation )

  • T. van der Heijden, E. Renault, B. J. Werker
  • 2009
1 Excerpt

The Econometrics of Ultra - High Frequency Data

  • M. Fukasawa
  • Econometrica
  • 2009
1 Excerpt

Irregular sampling and cenral limit theorems for power variations: the continuous case,

  • T. Hayashi, J. Jacod, N. Yoshida
  • Martingale Limit Theory and Its Application
  • 2008
3 Excerpts

Information Loss in Volatility Measurement with Flat

  • P.C.B. Phillips, J. Yu
  • 2007
2 Excerpts

Information Loss in Volatility Measurement with Flat Price Trading , ” working paper

  • P. C. B. Phillips, J. Yu
  • 2007
2 Excerpts

Similar Papers

Loading similar papers…