Nonsynchronous covariation process and limit theorems

DOI10.1016/j.spa.2010.12.005zbMath1233.60014MaRDI QIDQ719383

Nakahiro Yoshida, Takaki Hayashi

Publication date: 10 October 2011

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.12.005

zbMATH Keywords

high-frequency data; quadratic variation; semimartingale; stable convergence; realized volatility; discrete sampling; martingale central limit theorem; nonsynchronicity

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G48: Generalizations of martingales

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