Abstract
We establish a central limit theorem for a class of pre-averaging covariance estimators in a general endogenous time setting. In particular, we show that the time endogeneity has no impact on the asymptotic distribution if certain functionals of observation times are asymptotically well-defined. This contrasts with the case of the realized volatility in a pure diffusion setting. We also discuss an optimal choice of the weight function in the pre-averaging.
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