Central limit theorem for the realized volatility based on tick time sampling (Q2430257)

The main object of this paper is a model where the log-price dynamics is modelled by a non-Markovian stochastic differential equation with an adjustment for bid-ask spreads. The author considers an estimate of the integrated volatility by the realized volatility. He uses a specific sampling scheme, called tick time sampling, for the latter. A central limit theorem is proved for this estimator. Some more general sampling schemes are also considered. These results are partially extended to stochastic volatility models with leverage effects. Some empirical studies supporting the author's findings are given.