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

Journal of Econometrics

Volumn 147, Issue 1, 2008, Pages 47-59

  Kalnina, Ilze ^a   Linton, Oliver ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Endogenous noise; Market microstructure; Realised volatility; Semimartingale

Indexed keywords

ESTIMATION; MICROSTRUCTURE;

DIURNAL MEASUREMENTS; ECONOMETRIC MODELS; ENDOGENOUS NOISE; FINITE SAMPLE PERFORMANCES; HETEROSKEDASTICITY; MARKET MICRO STRUCTURES; MARKET MICROSTRUCTURE; PRICE PROCESSES; QUADRATIC VARIATIONS; RATE OF CONVERGENCES; REALISED VOLATILITY; SEMIMARTINGALE; SIMULATION EXPERIMENTS;

POTENTIAL FLOW;

EID: 55349104439     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.016     Document Type: Article

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