Whereas the literature on additive measurement error has known a considerable treatment, less work has been done for multiplicative noise. In this paper we concentrate on multiplicative measurement error in the covariates, which contrary to additive error not only modies proportionally the...

The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated variance (<inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="ubes_a_637876_o_ilm0001.gif"/>), noise moments, and price-noise relations. In the iid noise...

The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated variance (<inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="ubes_a_637876_o_ilm0001.gif"/>), noise moments, and price-noise relations. In the iid noise...