Title: Realized volatility estimator under liquidity constraints
Authors: Erindi Allaj - Epoka University (Albania) [presenting]
Abstract: The behaviour of the realized volatility (RV) estimator is analyzed under liquidity constraints. The liquidity is measured by the impact of the trade size 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 liquidity constraints. Finally, our results are validated by a simulation study.