REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang and Xinghua Zheng

Econometric Theory, 2014, vol. 30, issue 3, 580-605

Abstract: When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the realized volatility in a general endogenous time setting. We also establish a central limit theorem for the tricity under the hypothesis that there is no endogeneity, based on which we propose a test and document that this endogeneity is present in financial data.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:30:y:2014:i:03:p:580-605_00

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