A note on central limit theorems for quadratic variation in case of endogenous observation times

DOI10.1214/17-EJS1252zbMATH Open1361.60019arXiv1605.07056MaRDI QIDQ521334FDOQ521334

Authors: Mathias Vetter, Tobias Zwingmann 

Publication date: 7 April 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity jumps in detail and illustrate technical issues in more general situations.

Full work available at URL: https://arxiv.org/abs/1605.07056

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zbMATH Keywords

semimartingalequadratic variationstable convergencecentral limit theoremsrealized variancehigh-frequency observationsirregular data

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Cited In (5)

• On the estimation of the jump activity index in the case of random observation times
• Asymptotic properties of the realized skewness and related statistics
• Testing for simultaneous jumps in case of asynchronous observations
• Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
• Central limit theorems for realized volatility under hitting times of an irregular grid

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