diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is …

diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is … under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is inconsistent …: Realised Volatility, Semimartingale, Subsampling, Infill Asymptotic Scheme JEL Classification: C12 …