Irregular sampling and central limit theorems for power variations : the continuous case

Takaki Hayashi; Jean Jacod; Nakahiro Yoshida

Annales de l'I.H.P. Probabilités et statistiques (2011)

  • Volume: 47, Issue: 4, page 1197-1218
  • ISSN: 0246-0203

Abstract

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In the context of high frequency data, one often has to deal with observations occurring at irregularly spaced times, at transaction times for example in finance. Here we examine how the estimation of the squared or other powers of the volatility is affected by irregularly spaced data. The emphasis is on the kind of assumptions on the sampling scheme which allow to provide consistent estimators, together with an associated central limit theorem, and especially when the sampling scheme depends on the observed process itself.

How to cite

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Hayashi, Takaki, Jacod, Jean, and Yoshida, Nakahiro. "Irregular sampling and central limit theorems for power variations : the continuous case." Annales de l'I.H.P. Probabilités et statistiques 47.4 (2011): 1197-1218. <http://eudml.org/doc/240112>.

@article{Hayashi2011,
abstract = {In the context of high frequency data, one often has to deal with observations occurring at irregularly spaced times, at transaction times for example in finance. Here we examine how the estimation of the squared or other powers of the volatility is affected by irregularly spaced data. The emphasis is on the kind of assumptions on the sampling scheme which allow to provide consistent estimators, together with an associated central limit theorem, and especially when the sampling scheme depends on the observed process itself.},
author = {Hayashi, Takaki, Jacod, Jean, Yoshida, Nakahiro},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {quadratic variation; discrete observations; power variations; high frequency data; stable convergence; high-frequency data},
language = {eng},
number = {4},
pages = {1197-1218},
publisher = {Gauthier-Villars},
title = {Irregular sampling and central limit theorems for power variations : the continuous case},
url = {http://eudml.org/doc/240112},
volume = {47},
year = {2011},
}

TY - JOUR
AU - Hayashi, Takaki
AU - Jacod, Jean
AU - Yoshida, Nakahiro
TI - Irregular sampling and central limit theorems for power variations : the continuous case
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2011
PB - Gauthier-Villars
VL - 47
IS - 4
SP - 1197
EP - 1218
AB - In the context of high frequency data, one often has to deal with observations occurring at irregularly spaced times, at transaction times for example in finance. Here we examine how the estimation of the squared or other powers of the volatility is affected by irregularly spaced data. The emphasis is on the kind of assumptions on the sampling scheme which allow to provide consistent estimators, together with an associated central limit theorem, and especially when the sampling scheme depends on the observed process itself.
LA - eng
KW - quadratic variation; discrete observations; power variations; high frequency data; stable convergence; high-frequency data
UR - http://eudml.org/doc/240112
ER -

References

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