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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
[Zeitschriftenartikel]
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 mod... mehr
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.... weniger
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
https://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)