Central limit theorem for the realized volatility based on tick time sampling

Finance and Stochastics

Volumn 14, Issue 2, 2010, Pages 209-233

  Fukasawa, Masaaki ^a  

^a OSAKA UNIVERSITY   (Japan)

Author keywords

Bid ask bounce; Market microstructure noise; Quadratic variation; Realized volatility; Stable convergence

Indexed keywords

EID: 77951258928     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-008-0087-3     Document Type: Article

References (23)

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