Appendix to Realised Quantile-Based Estimation of the Integrated Variance

10 Pages Posted: 9 May 2009 Last revised: 30 Sep 2009

See all articles by Kim Christensen

Kim Christensen

Aarhus University - CREATES

Roel C. A. Oomen

Deutsche Bank AG (London); London School of Economics & Political Science (LSE) - Department of Statistics

Mark Podolskij

University of Heidelberg - Institute of Applied Mathematics

Date Written: September 2009

Abstract

In Christensen, Oomen, and Podolskij (2009) we state a consistency result and a CLT for QRV when m,n\to\infinity. This appendix provides the formal proofs for these results.

Suggested Citation

Christensen, Kim and Oomen, Roel C.A. and Podolskij, Mark, Appendix to Realised Quantile-Based Estimation of the Integrated Variance (September 2009). Available at SSRN: https://ssrn.com/abstract=1401694 or http://dx.doi.org/10.2139/ssrn.1401694

Kim Christensen

Aarhus University - CREATES ( email )

Department of Economics and Business Economics
Fuglesangs Allé 4
Aarhus V, 8210
Denmark

Roel C.A. Oomen (Contact Author)

Deutsche Bank AG (London) ( email )

Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom

London School of Economics & Political Science (LSE) - Department of Statistics ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

Mark Podolskij

University of Heidelberg - Institute of Applied Mathematics ( email )

Grabengasse 1
Heidelberg, 69117
Germany
00496221546276 (Phone)

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