On integrated volatility of Itô semimartingales when sampling times are endogenous

Cui Xia Li; Jin Yuan Chen; Zhi Liu; Bing Yi Jing

doi:10.1080/03610926.2012.730169

On integrated volatility of Itô semimartingales when sampling times are endogenous

Cui Xia Li
, Jin Yuan Chen
, Zhi Liu^*
, Bing Yi Jing

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Pages (from-to)	5263-5275
Number of pages	13
Journal	Communications in Statistics - Theory and Methods
Volume	43
Issue number	24
DOIs	https://doi.org/10.1080/03610926.2012.730169
Publication status	Published - 17 Dec 2014

Bibliographical note

Publisher Copyright:
Copyright © 2014 Taylor & Francis Group, LLC.

Keywords

Central limit theorem
Endogeneity
High frequency data
Ito
jumps
semimartingale

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10.1080/03610926.2012.730169

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title = "On integrated volatility of It{\^o} semimartingales when sampling times are endogenous",

abstract = "In this paper, we estimate the integrated volatility of It{\^o} 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.",

keywords = "Central limit theorem, Endogeneity, High frequency data, Ito, jumps, semimartingale",

author = "Li, \{Cui Xia\} and Chen, \{Jin Yuan\} and Zhi Liu and Jing, \{Bing Yi\}",

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T1 - On integrated volatility of Itô semimartingales when sampling times are endogenous

AU - Li, Cui Xia

AU - Chen, Jin Yuan

AU - Liu, Zhi

AU - Jing, Bing Yi

PY - 2014/12/17

Y1 - 2014/12/17

N2 - 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.

AB - 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.

KW - Central limit theorem

KW - Endogeneity

KW - High frequency data

KW - Ito

KW - jumps

KW - semimartingale

UR - https://www.webofscience.com/wos/woscc/full-record/WOS:000348026500010

UR - https://openalex.org/W1965553239

U2 - 10.1080/03610926.2012.730169

DO - 10.1080/03610926.2012.730169

M3 - Journal Article

SN - 0361-0926

VL - 43

SP - 5263

EP - 5275

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 24

ER -

On integrated volatility of Itô semimartingales when sampling times are endogenous

Abstract

Bibliographical note

Keywords

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