Journal article | Zeitschriftenartikel
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
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.
- Umfang
-
Seite(n): 47-59
- Sprache
-
Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Journal of Econometrics, 147(1)
- Thema
-
Wirtschaft
Wirtschaftswissenschaften
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kalnina, Ilze
Linton, Oliver
- Ereignis
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Veröffentlichung
- (wo)
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Niederlande
- (wann)
-
2008
- DOI
- URN
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urn:nbn:de:0168-ssoar-201029
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Kalnina, Ilze
- Linton, Oliver
Entstanden
- 2008
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