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

DOI10.1016/j.jeconom.2008.09.016zbMath1429.62676OpenAlexW2090942229MaRDI QIDQ299254

Ilze Kalnina, Oliver B. Linton

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.016

zbMATH Keywords

semimartingalemarket microstructureendogenous noiserealised volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

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