|Table of Contents|

Existence of Endogenous Sampling High Frequency Data(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2015年04期
Page:
36-
Research Field:
数学
Publishing date:

Info

Title:
Existence of Endogenous Sampling High Frequency Data
Author(s):
Xiao Hongmin; Ye Li
College of Mathematics and Statistics，Northwest Normal University，Lanzhou 730070，China
Keywords:
endogenous; high frequency data; realized volatility
PACS:
O212.2
DOI:
-
Abstract:
In view of the high frequency data，especially the ultra-high frequency data，when handling with integral volatility，simplifying assumptions are usually imposed on the relationship between the observation times and the price process. They are generally considered to be independent，but this assumption does not conform to the actual situation. With market microstructure noise，this paper establishes a central limit theorem for the realized volatility in a general endogenous time setting，and documents that this endogeneity can be presented in real stock data.

References:

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Memo

Memo:
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Last Update: 2015-12-30