Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood. We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm. This result has recently been intro- duced in...

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...