REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

Mixed Hitting-Time Models

(2012)   ECONOMETRICA

Irregular sampling and central limit theorems for power variations: The continuous case

(2011) Takaki Hayashi et al.   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

On the Microstructural Hedging Error

(2011) Christian Y. Robert et al.   SIAM Journal on Financial Mathematics

Quasi-maximum likelihood estimation of volatility with high frequency data

(2010) Dacheng Xiu   JOURNAL OF ECONOMETRICS

Estimating covariation: Epps effect, microstructure noise

(2010) Lan Zhang   JOURNAL OF ECONOMETRICS

VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

(2010) Christian Yann Robert et al.   MATHEMATICAL FINANCE

Realized volatility with stochastic sampling

(2010) Masaaki Fukasawa   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Inference for Continuous Semimartingales Observed at High Frequency

(2009)   ECONOMETRICA

Central limit theorem for the realized volatility based on tick time sampling

(2009) Masaaki Fukasawa   FINANCE AND STOCHASTICS

NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

(2009) Dennis Kristensen   ECONOMETRIC THEORY

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

(2008)   ECONOMETRICA

Microstructure noise in the continuous case: The pre-averaging approach

(2008) Jean Jacod et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

A note on the central limit theorem for bipower variation of general functions

(2007) Silja Kinnebrock et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS