[1]肖鸿民,叶 立.高频数据中内生测量时间的存在性[J].南京师范大学学报(自然科学版),2015,38(04):36.
 Xiao Hongmin,Ye Li.Existence of Endogenous Sampling High Frequency Data[J].Journal of Nanjing Normal University(Natural Science Edition),2015,38(04):36.
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高频数据中内生测量时间的存在性()
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《南京师范大学学报》(自然科学版)[ISSN:1001-4616/CN:32-1239/N]

卷:
第38卷
期数:
2015年04期
页码:
36
栏目:
数学
出版日期:
2015-12-30

文章信息/Info

Title:
Existence of Endogenous Sampling High Frequency Data
作者:
肖鸿民叶 立
西北师范大学数学与统计学院,甘肃 兰州 730070
Author(s):
Xiao HongminYe Li
College of Mathematics and Statistics,Northwest Normal University,Lanzhou 730070,China
关键词:
内生性高频数据实波动率
Keywords:
endogenoushigh frequency datarealized volatility
分类号:
O212.2
文献标志码:
A
摘要:
基于高频数据估计积分波动率时,一般假设测量时间和价格过程无关,但这个假设并不符合实际情况,本文在考虑噪音污染的影响下,为一般的受内生测量时间影响的实波动率建立了中心极限定理,同时用真实的股票数据呈现了这种内生性.
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.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2014-09-15. 
基金项目:国家自然科学基金(71261023). 
通讯联系人:肖鸿民,教授,研究方向:金融统计与保险数学. E-mail:xiaohm9@126.com
更新日期/Last Update: 2015-12-30