PropertyValue
?: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. (xsd:string)
?:contributor
?:dateModified
  • 2008 (xsd:gyear)
?:datePublished
  • 2008 (xsd:gyear)
?:doi
  • 10.1016/j.jeconom.2008.09.016 ()
?:duplicate
?:hasFulltext
  • true (xsd:boolean)
is ?:hasPart of
?:inLanguage
  • en (xsd:string)
?:isPartOf
?:issueNumber
  • 1 (xsd:string)
?:linksDOI
?:linksURN
is ?:mainEntity of
?:name
  • Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (xsd:string)
?:provider
?:publicationType
  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
?:sourceInfo
  • GESIS-SSOAR (xsd:string)
  • In: Journal of Econometrics, 147, 2008, 1, 47-59 (xsd:string)
rdf:type
?:url
?:urn
  • urn:nbn:de:0168-ssoar-201029 ()
?:volumeNumber
  • 147 (xsd:string)