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Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
http://hdl.handle.net/2261/18456
http://hdl.handle.net/2261/1845685e2c8eb-dde9-4f43-b800-7a94486e2e58
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 | 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 | 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 | 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 | |||||
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 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 introduce the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises. The resulting estimator is simple and it has the representation as a specific quadratic form of returns. 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 non-Gaussian processes and volatility models. Based on simulations, we find that the SIML estimator has reasonable finite sample properties and thus it would be useful for practice. It is also possible to use the limiting distribution of the SIML estimator for constructing testing procedures and confidence intervals. | |||||
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-581, 発行日 2008-08 |
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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 | 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/2008/2008cf581ab.html |