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- W2187222014 abstract "This paper is concerned with asymptotic behavior of the normalized sums of functionals of a variety of continuous semimartingales where observations are sampled at stochastic times. Several laws of large numbers and a major central limit theorem are proved after an appropriate normalization. These results are connected to the needs of nancial econometrics in that they provide future foundation for redenition of the realized kernel estimation of integrated volatility. Realized kernel method is currently one of the most popular methods for estimation of integrated volatility of a price process for high-frequency nancial data. The classical denition is based on equispaced data; however, it has to be redened in cases where the trading times are stochastic. The stochastic trading duration assumption is typically true whenever the tick-by-tick trading data are recorded. Our results provide the foundation of asymptotic theory of the redened realized kernel estimator which is the subject of our second (forthcoming) article." @default.
- W2187222014 created "2016-06-24" @default.
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- W2187222014 date "2014-01-01" @default.
- W2187222014 modified "2023-10-08" @default.
- W2187222014 title "Asymptotic properties of functionals of increments of a continuous semimartingale with stochastic sampling times" @default.
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