WE consider a particular type of randomly observed continuous time process, in accordance with the characteristics of dataset coming from financial markets. We adapt the concept of Local Time by defining from the discrete observations an Empirical Local Time and we prove it converges under suitable assumptions to the Local Time of the continuous time process, when the set of discrete observations converges to the continuous time observation.
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Paper provided by Institut National de la Statistique et des Etudes Economiques- in its series Papers with number
2000-40.
Length: 24 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:inseep:2000-40
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models