Here we assume that the logarithmic asset price is given by a semimartingle. Jacod (2006) has derived an infeasible central limit theorem for the realized variance in such a general framework. However, here we focus on constructing a feasible limit theorem. We propose a new estimator for the...

Here we assume that the logarithmic asset price is given by a semimartingale. Jacod (2006) has derived an infeasible central limit theorem for the realised variance in such a general framework. However, here we focus on constructing a feasible limit theorem. We propose a new estimator for the...