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

DOI10.1214/11-AIHP432zbMath1271.62198OpenAlexW2049289474MaRDI QIDQ1944677

Jean Jacod, Takaki Hayashi, Nakahiro Yoshida

Publication date: 26 March 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1317906508

zbMATH Keywords

discrete observations high-frequency data quadratic variation stable convergence power variations

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Martingales with discrete parameter (60G42) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)

Related Items

Discretization error of irregular sampling approximations of stochastic integrals ⋮ Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model ⋮ REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS ⋮ Reproducing kernels: harmonic analysis and some of their applications ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Parametric inference for diffusions observed at stopping times ⋮ Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling ⋮ ETF basket-adjusted covariance estimation ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Optimal Execution with Quadratic Variation Inventories ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Metric duality between positive definite kernels and boundary processes ⋮ An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility ⋮ Volatility inference in the presence of both endogenous time and microstructure noise ⋮ ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES ⋮ Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity ⋮ Estimating the integrated volatility using high-frequency data with zero durations ⋮ Testing for simultaneous jumps in case of asynchronous observations ⋮ Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations ⋮ Time endogeneity and an optimal weight function in pre-averaging covariance estimation ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS ⋮ Asymptotic results for time-changed Lévy processes sampled at hitting times ⋮ On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous ⋮ Realized volatility with stochastic sampling ⋮ Central limit theorems for realized volatility under hitting times of an irregular grid ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ A CLT for second difference estimators with an application to volatility and intensity ⋮ Difference based estimators and infill statistics ⋮ Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Cites Work