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arXiv · 1605.07056

A note on central limit theorems for quadratic variation in case of endogenous observation times

Mathias Vetter·Tobias Zwingmann
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Abstract

This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity jumps in detail and illustrate technical issues in more general situations.

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Mathias Vetter, Tobias Zwingmann. 2016-05-23. A note on central limit theorems for quadratic variation in case of endogenous observation times. https://arxiv.org/abs/1605.07056

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