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.

Urheber*in: Kalnina, Ilze; Linton, Oliver

Free access - no reuse

Extent: Seite(n): 47-59

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Journal of Econometrics, 147(1)

Subject: Wirtschaft
Wirtschaftswissenschaften

Event: Geistige Schöpfung

(who): Kalnina, Ilze
Linton, Oliver

Event: Veröffentlichung

(where): Niederlande

(when): 2008

DOI: https://doi.org/10.1016/j.jeconom.2008.09.016

URN: urn:nbn:de:0168-ssoar-201029

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:26 PM CEST

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Zeitschriftenartikel

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Kalnina, Ilze
Linton, Oliver

Time of origin

2008

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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

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Other Objects (12)

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Error estimates for linear-quadratic elliptic control problems

Estimating the Quadratic Covariation Matrix from Noisy Observations

Estimating endogenous effects on ordinal outcomes

Estimating sequencing error rates using families

A new quadratic asymmetric error correction model: does size matter?

A Bhattacharyya-type Conditional Error Bound for Quadratic Discriminant Analysis

Error estimates for linear-quadratic control problems with control constraints

Estimating nonseparable models with mismeasured endogenous variables

Estimating the quadratic covariation from asynchronous noisy high-frequency observations

Estimating Pauli Noise in Quantum Error Correction

Estimating Production Functions When Productivity Change is Endogenous

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Error estimates for linear-quadratic elliptic control problems

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Estimating endogenous effects on ordinal outcomes

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A new quadratic asymmetric error correction model: does size matter?

A Bhattacharyya-type Conditional Error Bound for Quadratic Discriminant Analysis

Error estimates for linear-quadratic control problems with control constraints

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