{"paper":{"title":"Central limit theorems for pre-averaging covariance estimators under endogenous sampling times","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.TH"],"primary_cat":"math.ST","authors_text":"Yuta Koike","submitted_at":"2013-05-06T15:54:13Z","abstract_excerpt":"We consider two continuous It\\^o semimartingales observed with noise and sampled at stopping times in a nonsynchronous manner. In this article we establish a central limit theorem for the pre-averaged Hayashi-Yoshida estimator of their integrated covariance in a general endogenous time setting. In particular, we show that the time endogeneity has no impact on the asymptotic distribution of the pre-averaged Hayashi-Yoshida estimator, which contrasts the case for the realized volatility in a pure diffusion setting. We also establish a central limit theorem for the modulated realized covariance, "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1305.1229","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}