Nonsynchronous covariation process and limit theorems

Stochastic Processes and their Applications

Volumn 121, Issue 10, 2011, Pages 2416-2454

  Hayashi, Takaki ^a   Yoshida, Nakahiro ^b  

^a KEIO UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Discrete sampling; High frequency data; Martingale central limit theorem; Nonsynchronicity; Quadratic variation; Realized volatility; Semimartingale; Stable convergence

Indexed keywords

CENTRAL LIMIT THEOREM; DISCRETE SAMPLING; HIGH-FREQUENCY DATA; NONSYNCHRONICITY; QUADRATIC VARIATIONS; REALIZED VOLATILITY; SEMIMARTINGALES; STABLE CONVERGENCE;

DATA REDUCTION; RANDOM PROCESSES;

FREQUENCY ESTIMATION;

EID: 79961007731     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.12.005     Document Type: Article

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