On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous

Cui-Xia Li, Jin-Yuan Chen, Zhi Liu and Bing-Yi Jing

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 24, 5263-5275

Abstract: In this paper, we estimate the integrated volatility of Itô semimartingale when sampling times are endogenous. The estimator is proved to be consistent, and is robust to jumps, regardless of whether they are finite and infinite activity jumps. We also establish a central limit theorem for the estimator in a general endogenous time setting when the jumps have finite variation. Simulation is also included to illustrate the performance of the proposed procedure.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:43:y:2014:i:24:p:5263-5275

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DOI: 10.1080/03610926.2012.730169

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