Central limit theorems for realized volatility under hitting times of an irregular grid

DOI10.1016/j.spa.2012.08.005zbMath1255.60034MaRDI QIDQ713209

Mathieu Rosenbaum, Masaaki Fukasawa

Publication date: 26 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.08.005

zbMATH Keywords

central limit theorem; hitting times; stable convergence; semi-martingales; irregular grid

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

62M99: Inference from stochastic processes

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

60F17: Functional limit theorems; invariance principles

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