A note on central limit theorems for quadratic variation in case of endogenous observation times
| Autor: | Vetter, Mathias, Zwingmann, Tobias |
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| Rok vydání: | 2016 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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. Comment: 16 pages, 1 figure |
| Databáze: | arXiv |
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