Kalnina, Ilze; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2007
We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed … diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is … inconsistent when applied to our inference question. Recently, a type of subsampling has been used to do an additive bias …