Central limit theorem for the realized volatility based on tick time sampling
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-008-0087-3.pdf
Reference23 articles.
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3. Billingsley, P.: Convergence of Probability Measures, 2nd edn. Wiley, New York (1999)
4. Delattre, S., Jacod, J.: A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Bernoulli 3, 1–28 (1997)
5. Fitzsimmons, P.J., Pitman, J.: Kac’s moment formula and the Feynman–Kac formula for additive functionals of a Markov process. Stoch. Process. Appl. 79, 117–134 (1999)
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