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@article{ Kalnina2008, title = {Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error}, author = {Kalnina, Ilze and Linton, Oliver}, journal = {Journal of Econometrics}, number = {1}, pages = {47-59}, volume = {147}, year = {2008}, doi = {https://doi.org/10.1016/j.jeconom.2008.09.016}, urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-201029}, 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.}, }