高频数据中内生测量时间的存在性

基于高频数据估计积分波动率时，一般假设测量时间和价格过程无关，但这个假设并不符合实际情况，本文在考虑噪音污染的影响下，为一般的受内生测量时间影响的实波动率建立了中心极限定理，同时用真实的股票数据呈现了这种内生性.
In view of the high frequency data，especially the ultra-high frequency data，when handling with integral volatility，simplifying assumptions are usually imposed on the relationship between the observation times and the price process. They are generally considered to be independent，but this assumption does not conform to the actual situation. With market microstructure noise，this paper establishes a central limit theorem for the realized volatility in a general endogenous time setting，and documents that this endogeneity can be presented in real stock data