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Realized Volatility When Sampling Times Are Possibly Endogenous

Author

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  • Li, Yingying
  • Mykland, Per A.
  • Renault, Eric
  • Zhang, Lan
  • Zheng, Xinghua

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.

Suggested Citation

  • Li, Yingying & Mykland, Per A. & Renault, Eric & Zhang, Lan & Zheng, Xinghua, 2014. "Realized Volatility When Sampling Times Are Possibly Endogenous," Econometric Theory, Cambridge University Press, vol. 30(3), pages 580-605, June.
    • Handle: RePEc:cup:etheor:v:30:y:2014:i:03:p:580-605_00
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