Realized Volatility When Sampling Times are Possibly Endogenous
45 Pages Posted: 21 Dec 2009 Last revised: 27 Apr 2013
Date Written: April 24, 2013
Abstract
When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time setting. We also establish a central limit theorem for the tricity under the hypothesis that there is no endogeneity, based on which we propose a test and document that this endogeneity is present in financial data.
Keywords: bias-correction, continuous semimartingale, discrete observation, efficiency, endogeneity, It{\^o} process, realized volatility, stable convergence
JEL Classification: C02, C12, C13, C14, C15, C22
Suggested Citation: Suggested Citation
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