Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
We propose an econometric model that captures the effects 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 propose a modification of the TSRVÂ estimator of quadratic variation. We show that this estimator is consistent, with a rate of convergence that depends on the size of the measurement error, but is no worse than n-1/6. We investigate in simulation experiments the finite sample performance of various proposed implementations.