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

DOI10.1007/s00780-008-0087-3zbMath1224.62040MaRDI QIDQ2430257

Masaaki Fukasawa

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0087-3

zbMATH Keywords

quadratic variation; stable convergence; market microstructure noise; bid-ask bounds

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

60F17: Functional limit theorems; invariance principles

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