Irregular sampling and central limit theorems for power variations: The continuous case

Takaki Hayashi, Jean Jacod, Nakahiro Yoshida

研究成果: Article査読

28 被引用数 (Scopus)

抄録

In the context of high frequency data, one often has to deal with observations occurring at irregularly spaced times, at transaction times for example in finance. Here we examine how the estimation of the squared or other powers of the volatility is affected by irregularly spaced data. The emphasis is on the kind of assumptions on the sampling scheme which allow to provide consistent estimators, together with an associated central limit theorem, and especially when the sampling scheme depends on the observed process itself.

本文言語English
ページ(範囲)1197-1218
ページ数22
ジャーナルAnnales de l'institut Henri Poincare (B) Probability and Statistics
47
4
DOI
出版ステータスPublished - 2011 11

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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