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

https://doi.org/10.1007/s00780-008-0087-3
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9780470316962openalex-snapshot
Convergence of Probability Measures
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Brownian Motion and Stochastic Calculus
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Limit Theorems for Stochastic Processes
inferredcites →https://doi.org/10.1007/978-3-662-10061-5openalex-snapshot
Stochastic Integration and Differential Equations
inferredcites →https://doi.org/10.1007/bf00046894openalex-snapshot
Brownian motion and stochastic calculus
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.007openalex-snapshot
Estimating quadratic variation when quoted prices change by a constant increment
inferredcites →https://doi.org/10.1016/s0304-4149(98)00081-7openalex-snapshot
Kac’s moment formula and the Feynman–Kac formula for additive functionals of a Markov process
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Market Making and Reversal on the Stock Exchange
inferredcites →https://doi.org/10.1080/07474930701873341openalex-snapshot
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
inferredcites →https://doi.org/10.1093/rfs/hhi016openalex-snapshot
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
inferredcites →https://doi.org/10.1111/0022-1082.00183openalex-snapshot
The Dynamics of Discrete Bid and Ask Quotes
inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-snapshot
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb03897.xopenalex-snapshot
A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
inferredcites →https://doi.org/10.1184/r1/6586430openalex-snapshot
ANOVA for diffusions
inferredcites →https://doi.org/10.1198/016214505000000169openalex-snapshot
A Tale of Two Time Scales
inferredcites →https://doi.org/10.1198/073500106000000044openalex-snapshot
Properties of Realized Variance Under Alternative Sampling Schemes
inferredcites →https://doi.org/10.1198/073500106000000071openalex-snapshot
Realized Variance and Market Microstructure Noise
inferredcites →https://doi.org/10.1214/009053606000000452openalex-snapshot
ANOVA for diffusions and Itô processes
inferredcites →https://doi.org/10.1214/aop/1022855419openalex-snapshot
Asymptotic error distributions for the Euler method for stochastic differential equations
inferredcites →https://doi.org/10.2307/2290171openalex-snapshot
Limit Theorems for Stochastic Processes.
inferredcites →https://doi.org/10.2307/3318650openalex-snapshot
A Central Limit Theorem for Normalized Functions of the Increments of a Diffusion Process, in the Presence of Round-Off Errors
inferredcites →https://doi.org/10.3386/w10111openalex-snapshot
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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inferred← citeshttps://doi.org/10.2139/ssrn.2713322openalex-extracted
More Accurate Volatility Estimation and Forecasts Using Price Durations
inferred← citeshttps://doi.org/10.2139/ssrn.3123062openalex-extracted
Renewal Based Volatility Estimation
inferred← citeshttps://doi.org/10.2139/ssrn.3789398openalex-extracted
Separate Noise and Jumps From Tick Data: An Endogenous Thresholding Approach
inferred← citeshttps://doi.org/10.2139/ssrn.4184342openalex-extracted
Testing for Endogeneity of Irregular Sampling Schemes
inferred← citeshttps://doi.org/10.2139/ssrn.4351618openalex-extracted
Discontinuous trading in continuous-time econometrics *
inferred← citeshttps://doi.org/10.1007/s10463-026-00979-8openalex-snapshot
Nonparametric estimation of hitting-time variance
inferred← citeshttps://doi.org/10.1007/s11203-010-9041-zopenalex-snapshot
Goodness of fit test for ergodic diffusions by tick time sample scheme
inferred← citeshttps://doi.org/10.1016/j.jeconom.2016.10.004openalex-snapshot
Estimation of integrated quadratic covariation with endogenous sampling times
inferred← citeshttps://doi.org/10.1016/j.jspi.2026.106376openalex-snapshot
First passage time and inverse problem for continuous local martingales
inferred← citeshttps://doi.org/10.1016/j.spa.2010.02.006openalex-snapshot
Realized volatility with stochastic sampling
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Central limit theorems for realized volatility under hitting times of an irregular grid
inferred← citeshttps://doi.org/10.1016/j.spa.2013.04.002openalex-snapshot
Volatility inference in the presence of both endogenous time and microstructure noise
inferred← citeshttps://doi.org/10.1016/j.spa.2015.02.005openalex-snapshot
Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method
inferred← citeshttps://doi.org/10.1017/s0266466613000418openalex-snapshot
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
inferred← citeshttps://doi.org/10.1093/jjfinec/nbab006openalex-snapshot
Volatility Estimation and Forecasts Based on Price Durations
inferred← citeshttps://doi.org/10.1111/j.1467-9965.2010.00454.xopenalex-snapshot
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
inferred← citeshttps://doi.org/10.1111/j.1468-0300.2010.00221.xopenalex-snapshot
Review on Goodness of Fit Tests for Ergodic Diffusion Processes by Different Sampling Schemes
inferred← citeshttps://doi.org/10.1214/10-aap730openalex-snapshot
Discretization error of stochastic integrals
inferred← citeshttps://doi.org/10.1214/11-aihp432openalex-snapshot
Irregular sampling and central limit theorems for power variations: The continuous case
inferred← citeshttps://doi.org/10.1214/17-ejs1252openalex-snapshot
A note on central limit theorems for quadratic variation in case of endogenous observation times
inferred← citeshttps://doi.org/10.1214/20-ejs1708openalex-snapshot
Parametric inference for diffusions observed at stopping times
inferred← citeshttps://doi.org/10.1214/25-ejs2480openalex-snapshot
A note on the limit theorems for hitting times of path-dependent functionals of Itô semimartingales
inferred← citeshttps://doi.org/10.13140/rg.2.1.3857.5207openalex-snapshot
ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES
inferred← citeshttps://doi.org/10.1360/ssm-2024-0029openalex-snapshot
Stable convergence of discretization error of Itô integrals
inferred← citeshttps://doi.org/10.15559/15-vmsta20openalex-snapshot
Nonparametric Bayesian inference for multidimensional compound Poisson processes
inferred← citeshttps://doi.org/10.15559/15-vmsta24openalex-snapshot
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
inferred← citeshttps://doi.org/10.2139/ssrn.5199540openalex-snapshot
Jumps versus bursts: distinguishing sources of extreme risk in financial markets *
inferred← citeshttps://doi.org/10.3934/era.2024038openalex-snapshot
Estimation of the quadratic variation of log prices based on the Itô semi-martingale
inferred← citeshttps://doi.org/10.3982/ecta12501openalex-snapshot
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
inferred← citeshttps://doi.org/10.48550/arxiv.1004.2107openalex-snapshot
Discretization error of Stochastic Integrals
inferred← citeshttps://doi.org/10.48550/arxiv.1303.5809openalex-snapshot
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
inferred← citeshttps://doi.org/10.70675/f6cdf09czebcez435az95a3zfe3ad7bab7aeopenalex-snapshot
Discrétisation de processus à des temps d’arrêt et Quantification d'incertitude pour des algorithmes stochastiques
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