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%T Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error %A Kalnina, Ilze %A Linton, Oliver %J Journal of Econometrics %N 1 %P 47-59 %V 147 %D 2008 %K endogenous noise; market microstructure; realised volatility; semimartingale %= 2010-11-08T09:08:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-201029 %X 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. %C NLD %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info