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arXiv:1605.07056 [math.ST]AbstractReferencesReviewsResources

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

Mathias Vetter, Tobias Zwingmann

Published 2016-05-23Version 1

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.

Comments: 16 pages, 1 figure
Categories: math.ST, stat.TH
Subjects: 60F05, 60G51, 62M09
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