dc.contributor.author | Kalnina, Ilze | de |
dc.contributor.author | Linton, Oliver | de |
dc.date.accessioned | 2010-11-08T02:51:00Z | de |
dc.date.accessioned | 2012-08-30T06:17:18Z | |
dc.date.available | 2012-08-30T06:17:18Z | |
dc.date.issued | 2008 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/20102 | |
dc.description.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. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | endogenous noise; market microstructure; realised volatility; semimartingale | |
dc.title | Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 147 | de |
dc.publisher.country | NLD | |
dc.source.issue | 1 | de |
dc.subject.classoz | Economics | en |
dc.subject.classoz | Wirtschaftswissenschaften | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-201029 | de |
dc.date.modified | 2010-11-08T09:08:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 47-59 | |
internal.identifier.classoz | 10900 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2008.09.016 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |