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On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
http://hdl.handle.net/2261/37280
http://hdl.handle.net/2261/37280ced70bb4-0e8b-4b15-920a-8872514f1c06
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Realized Volatility | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Realized Covariance | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Micro-Market Noise | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | High-Frequency Data | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Separating Information Maximum Likelihood (SIML) | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Asymptotic Distributions | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Nikkei-225 Futures | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | 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× Sato, Seisho |
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著者別名 | ||||||
識別子Scheme | WEKO | |||||
識別子 | 97042 | |||||
姓名 | 国友, 直人 | |||||
著者別名 | ||||||
識別子Scheme | WEKO | |||||
識別子 | 97043 | |||||
姓名 | 佐藤, 整尚 | |||||
著者所属 | ||||||
値 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
値 | Institute of Statistical Mathematics | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | For estimating the realized volatility and covariance by using high frequency data, we have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a, 2010b). The resulting estimator is simple and it has the representation as a specific quadratic form of returns. We show that the SIML estimator has reasonable asymptotic properties; it is consistent and it has the asymptotic normality (or the stable convergence in the general case) when the sample size is large under general conditions including some non-Gaussian processes and some volatility models. Based on simulations, we find that the SIML estimator has reasonable finite sample properties and thus it would be useful for practice. The SIML estimator has the asymptotic robustness properties in the sense it is consistent when the noise terms are weakly dependent and they are endogenously correlated with the efficient market price process. We also apply our method to an analysis of Nikkei-225 Futures, which has been the major stock index in the Japanese financial sector. | |||||
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-758, 発行日 2010-08 |
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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Scheme | NDC | |||||
主題 | 335 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
値 | 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/2010/2010cf758ab.html |