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Can I read Realized Volatility with Stochastic Sampling on EtoBox?
Realized Volatility with Stochastic Sampling by Masaaki Fukasawa is a Mathematics article available to read on EtoBox.
What is Realized Volatility with Stochastic Sampling about?
A central limit theorem for the realized volatility of a one-dimensional continuous semimartingale based on a general stochastic sampling scheme is proved. The asymptotic distribution depends on the sampling scheme, which is written explicitly in terms of the asymptotic skewness and kurtosis of returns. Conditions for the central limit theorem to hold are examined for several concrete examples of schemes. Lower bounds for mean squared error and for asymptotic conditional variance are given, which are attained by using a specific sampling scheme.
Who reads Realized Volatility with Stochastic Sampling?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Masaaki Fukasawa
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4149)
- Published
- 2010
- Language
- EN
- Field
- Mathematics (Physical Sciences)