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- W1574787006 abstract "The econometric literature of high frequency data often relies on moment estimators which are derived from assuming local constancy of volatility and related quantities. We here study this local-constancy approximation as a general approach to estimation in such data. We show that the technique yields asymptotic properties (consistency, normality) that are correct subject to an ex post adjustment involving asymptotic likelihood ratios. These adjustments are given. Several examples of estimation are provided: powers of volatility, leverage eect, integrated betas, bipower, and covariance under asynchronous observation. The first order approximations in this study can be over the period of one observation, or over blocks of successive observations. The advantage of blocking is a gain in transparency in defining and analyzing estimators. The theory relies heavily on the interplay between stable convergence and measure change, and on asymptotic expansions for martingales." @default.
- W1574787006 created "2016-06-24" @default.
- W1574787006 creator A5003547177 @default.
- W1574787006 creator A5026930195 @default.
- W1574787006 date "2007-01-01" @default.
- W1574787006 modified "2023-10-17" @default.
- W1574787006 title "Inference for Continuous Semimartingales Observed at High Frequency: A General Approach" @default.
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- W1574787006 doi "https://doi.org/10.2139/ssrn.1030851" @default.
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