{"created":"2021-03-01T07:01:53.496069+00:00","id":42055,"links":{},"metadata":{"_buckets":{"deposit":"ea4dcc97-db85-4ab9-a75a-821ea06ea0e5"},"_deposit":{"id":"42055","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42055"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042055","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2008-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-581","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cf581ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"University of Tokyo"},{"subitem_text_value":"Institute of Statistical Mathematics"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kunitomo, Naoto"}],"nameIdentifiers":[{"nameIdentifier":"96783","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Seisho, Sato"}],"nameIdentifiers":[{"nameIdentifier":"96784","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Realized Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"Realized Covariance","subitem_subject_scheme":"Other"},{"subitem_subject":"Micro-Market Noise","subitem_subject_scheme":"Other"},{"subitem_subject":"High-Frequency Data","subitem_subject_scheme":"Other"},{"subitem_subject":"Separating Information Maximum Likelihood (SIML)","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42055","relation_version_is_last":true,"title":["Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:20.909804+00:00"}