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REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

Published online by Cambridge University Press:  27 November 2013

Yingying Li ,
Per A. Mykland ,
Eric Renault ,
Lan Zhang  and
Xinghua Zheng
Yingying Li
Affiliation:
Hong Kong University of Science and Technology
Per A. Mykland
Affiliation:
University of Chicago
Eric Renault
Affiliation:
Brown University
Lan Zhang
Affiliation:
University of Illinois at Chicago
Xinghua Zheng*
Affiliation:
Hong Kong University of Science and Technology
*
*Address correspondence to We are very grateful to the editor and anonymous referees for their very valuable comments and suggestions. Xinghua Zheng, Department of ISOM, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong; email: xhzheng@ust.hk.
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Abstract

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the realized volatility in a general endogenous time setting. We also establish a central limit theorem for the tricity under the hypothesis that there is no endogeneity, based on which we propose a test and document that this endogeneity is present in financial data.

Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 3 , June 2014 , pp. 580 - 605
Copyright
Copyright © Cambridge University Press 2013 

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