The Story Sisters by Alice Hoffman

This is a disturbing story to say the least.  The Story sisters are so close to each other as children that they even share a secret language. Studious middle sister Meg sometimes grows tired of their imaginary life but youngest sister Claire worships her oldest sister Elv's ability to transport them to a mythical country where she spins exciting adventures. Then Elv makes a secret life changing sacrifice to keep her youngest sister Claire safe.  As they grow older, Elv's life spins out of control, loyalties shift and disaster strikes - more than once.  All three sisters occasionally find solace with their grandmother in her Paris apartment and it is under her guidance that old wounds find a way to heal.