{ "id": "1605.07056", "version": "v1", "published": "2016-05-23T15:16:27.000Z", "updated": "2016-05-23T15:16:27.000Z", "title": "A note on central limit theorems for quadratic variation in case of endogenous observation times", "authors": [ "Mathias Vetter", "Tobias Zwingmann" ], "comment": "16 pages, 1 figure", "categories": [ "math.ST", "stat.TH" ], "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.", "revisions": [ { "version": "v1", "updated": "2016-05-23T15:16:27.000Z" } ], "analyses": { "subjects": [ "60F05", "60G51", "62M09" ], "keywords": [ "central limit theorem", "endogenous observation times", "quadratic variation", "finite activity jumps", "deterministic characteristics" ], "note": { "typesetting": "TeX", "pages": 16, "language": "en", "license": "arXiv", "status": "editable" } } }