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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