REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
研究了高频数据中观测时间与价格过程存在内生关系时已实现波动率的中心极限定理，并提出了检验内生性的方法，发现金融数据中存在这种内生性。
When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the realized volatility in a general endogenous time setting. We also establish a central limit theorem for the tricity under the hypothesis that there is no endogeneity, based on which we propose a test and document that this endogeneity is present in financial data.