REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

DOI10.1017/S0266466613000418zbMath1296.91290OpenAlexW3125565050MaRDI QIDQ3191831

Lan Zhang, Eric Renault, Xinghua Zheng, Per Aslak Mykland, Ying-Ying Li

Publication date: 25 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000418

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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