On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous

DOI10.1080/03610926.2012.730169MaRDI QIDQ5177619zbMATH OpenOpenAlexFDO

Authors Cuixia Li, Jinyuan Chen, Zhi Liu, Bing-Yi Jing

Publication date 13 March 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2012.730169

zbMATH Keywords

central liomit theoremendogeneityhigh frequency dataItô semimartingalejumps

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Irregular sampling and central limit theorems for power variations: the continuous case
• Modeling and Forecasting Realized Volatility
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Option pricing when underlying stock returns are discontinuous
• Pricing and hedging long-term options
• Realized volatility when sampling times are possibly endogenous
• The Distribution of Realized Exchange Rate Volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(4)

• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• Realized volatility when sampling times are possibly endogenous
• Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity

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