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Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise
http://hdl.handle.net/2261/25765
http://hdl.handle.net/2261/2576525c6ff05-5c4c-48b5-969f-5d3fcd9681a7
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Realized Volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Realized Covariance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Realized Hedging Coefficient | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Micro-Market Noise | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | High-Frequency Data | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Separating Information Maximum Likelihood (SIML) | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Nikkei 225 Futures | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Tick Size Effects | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kunitomo, Naoto
× Kunitomo, Naoto× Seisho, Sato |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Institute of Statistical Mathematic | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | For the estimation problem of the realized volatility, covariance and hedging coefficient by using high frequency data with possibly micro-market noises, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato (2008). By analyzing the Nikkei 225 futures and spot index markets, we have found that the estimates of realized volatility, covariance and hedging coefficient have significant bias by the traditional method which should be corrected. Our method can handle the estimation bias and the tick-size effects of Nikkei 225 futures by removing the possible micro-market noise in multivariate high frequency data. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-601, 発行日 2008-11 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cf601ab.html |