Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
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
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Postprint
begutachtet (peer reviewed)
In: Journal of Econometrics ; 147 (2008) 1 ; 47-59
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Mannheim
- (wann)
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2008
- Urheber
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Kalnina, Ilze
Linton, Oliver
- DOI
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10.1016/j.jeconom.2008.09.016
- URN
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urn:nbn:de:0168-ssoar-201029
- Rechteinformation
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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25.03.2025, 13:47 MEZ
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Beteiligte
- Kalnina, Ilze
- Linton, Oliver
Entstanden
- 2008
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