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

Kalnina, Ilze; Linton, Oliver - In: Journal of econometrics 147 (2008) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10003783783

Estimating quadratic variation consistently in the presence of correlated measurement errors

Kalnina, Ilze (contributor); Linton, Oliver (contributor) - 2006

Persistent link: https://www.econbiz.de/10003375854

Discussion of Ai͏̈t-Sahalia and Barndorff-Nielsen and Shephard

Linton, Oliver; Kalnina, Ilze - 2007

Persistent link: https://www.econbiz.de/10003691564

Inference about realized volatility using infill subsampling

Kalnina, Ilze (contributor); Linton, Oliver (contributor) - 2007

Persistent link: https://www.econbiz.de/10003535624

Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error

Kalnina, Ilze - 2008

We propose an econometric model that captures the ecurren;ects 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...

Persistent link: https://www.econbiz.de/10012770895