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- W3208121504 abstract "We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new estimator which is consistent and asymptotically unbiased under a linear economy. Finally, our results are validated by a simulation and an empirical study." @default.
- W3208121504 created "2021-11-08" @default.
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- W3208121504 date "2019-01-01" @default.
- W3208121504 modified "2023-09-27" @default.
- W3208121504 title "Realized Volatility Estimator Under Liquidity Constraints" @default.
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- W3208121504 doi "https://doi.org/10.2139/ssrn.3509894" @default.
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