A note on central limit theorems for quadratic variation in case of endogenous observation times
Statistics Theory
2016-05-24 v1 Statistics Theory
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.
Keywords
Cite
@article{arxiv.1605.07056,
title = {A note on central limit theorems for quadratic variation in case of endogenous observation times},
author = {Mathias Vetter and Tobias Zwingmann},
journal= {arXiv preprint arXiv:1605.07056},
year = {2016}
}
Comments
16 pages, 1 figure