Irregular sampling and central limit theorems for power variations: The continuous case
By Takaki Hayashi, Jean Jacod, Nakahiro Yoshida. 2011
61 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/3c2ab49a8a43eb96589dfe6bd020455c0a45b68a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Yingying Li
- Per Aslak Mykland
- Lan Zhang
- Xinghua Zheng
- Yacine Aït-Sahalia
- É. Renault
- Masaaki Fukasawa
- Asger Lunde
In Statistics and Probability
- Lan Zhang
- Per Aslak Mykland
- É. Renault
- Xinghua Zheng
- Masaaki Fukasawa
- Yingying Li
- Xinbing Kong
- Mark Podolskij
Citations in the corpus
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, background): “In other words, Assumption (C) of Hayashi et al. (2011) is fulfilled, and thus endogeneity of time is still not enough to avoid vt = 0.”
- Realized volatility with stochastic sampling (2010, background): “[11]: we assume that the duration τ j+1 − τ n j is conditionally independent of M·+τ j − Mτ j given Fτ j for each j ≥ 0.”