Footnote:
In: Econometric Theory, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 2013 erstellt
Description:
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