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2017 A note on central limit theorems for quadratic variation in case of endogenous observation times
Mathias Vetter, Tobias Zwingmann
Electron. J. Statist. 11(1): 963-980 (2017). DOI: 10.1214/17-EJS1252

Abstract

This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity jumps in detail and illustrate technical issues in more general situations.

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Mathias Vetter. Tobias Zwingmann. "A note on central limit theorems for quadratic variation in case of endogenous observation times." Electron. J. Statist. 11 (1) 963 - 980, 2017. https://doi.org/10.1214/17-EJS1252

Information

Received: 1 May 2016; Published: 2017
First available in Project Euclid: 30 March 2017

zbMATH: 1361.60019
MathSciNet: MR3629416
Digital Object Identifier: 10.1214/17-EJS1252

Subjects:
Primary: 60F05, 60G51, 62M09

JOURNAL ARTICLE
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Vol.11 • No. 1 • 2017
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