This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 604
Type: Invited
Date/Time: Thursday, August 5, 2010 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #306169
Title: Realized Volatility When Sampling Times Can Be Endogenous
Author(s): Yingying Li and Per Mykland and Eric Renault and Lan Zhang and Xinghua Zheng*+
Companies: Hong Kong University of Science and Technology and The University of Chicago and The University of North Carolina at Chapel Hill and University of Illinois at Chicago and Hong Kong University of Science and Technology
Address: , , ,
Keywords: bias-correction ; continuous semimartingale ; discrete observation ; endogeneity ; realized volatility ; stable convergence
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 document that this endogeneity can be present in financial data.

Based on joint work with Yingying Li, Per A. Mykland, Eric Renault and Lan Zhang.


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