Before revision:  In this paper, we introduce an endogenous 2-dimensional modeland show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes .
After revision:  In this paper, we introduce a very general endogenous two dimensional nonparametric model. Because an observation is generated whenever an auxiliary process called observation time process hits one of the two boundary processes, it is called the hitting boundary process with time process (HBT) model. We establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes .