Central limit theorems for realized volatility under hitting times of an irregular grid
From MaRDI portal
Publication:713209
DOI10.1016/j.spa.2012.08.005zbMath1255.60034MaRDI 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
60F05: Central limit and other weak theorems
62M99: Inference from stochastic processes
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
60F17: Functional limit theorems; invariance principles
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