Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 3901-3920
We consider a continuous semi-martingale sampled at hitting times of an irregular grid. The goal of this work is to analyze the asymptotic behavior of the realized volatility under this rather natural observation scheme. This framework strongly differs from the well understood situations when...