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A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors
http://hdl.handle.net/2261/50206
http://hdl.handle.net/2261/50206a4fa734c-b85d-4d06-84b5-972d4d8c2a69
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 | A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Realized Volatility with 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 | micro-market adjustments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Round-off errors | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Robustness | |||||
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 |
Sato, Seisho
× Sato, Seisho× Kunitomo, Naoto |
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著者所属 | ||||||
著者所属 | Institute of Statistical Mathematics | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
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, Kunitomo and Sato (2008a, b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. 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 with non-Gaussian processes or volatility models. We show that the SIML estimator has the robustness properties in the sense that it is consistent and has the asymptotic normality when there are micro-market (non-liner) adjustments and the round-off errors on the underlying stochastic processes. | |||||
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-803, 発行日 2011-06 |
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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 | 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/2011/2011cf803ab.html |