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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

[Zeitschriftenartikel]

Kalnina, Ilze; Linton, Oliver

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-201029

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Abstract We propose an econometric model that captures the effects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a modification of the TSRV estimator of quadratic variation. We show that this estimator is consistent, with a rate of convergence that depends on the size of the measurement error, but is no worse than n−1/6. We investigate in simulation experiments the finite sample performance of various proposed implementations.
Klassifikation Wirtschaftswissenschaften
Freie Schlagwörter endogenous noise; market microstructure; realised volatility; semimartingale
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 47-59
Zeitschriftentitel Journal of Econometrics, 147 (2008) 1
DOI http://dx.doi.org/10.1016/j.jeconom.2008.09.016
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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