Realized volatility when sampling times are possibly endogenous

Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang, Xinghua Zheng

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35 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)580-605
Number of pages26
JournalEconometric Theory
Volume30
Issue number3
DOIs
Publication statusPublished - 2014
Externally publishedYes

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