Bibtex export

 

@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.},
}