Realized Volatility When Sampling Times are Possibly Endogenous

When estimating integrated volatilities based on high-frequency data, sim- plifyingassumptionsareusuallyimposedontherelationshipbetweentheobser- vation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time setting. We also document that this endogeneity is present in flnancial data. Keywords: bias-correction, continuous semimartingale, discrete observa-