{"created":"2021-03-01T07:02:00.827613+00:00","id":42162,"links":{},"metadata":{"_buckets":{"deposit":"27667d6b-97c9-4d25-8def-da6abcda0566"},"_deposit":{"id":"42162","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42162"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042162","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-08","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-758","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 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.","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_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"97042","nameIdentifierScheme":"WEKO"}],"names":[{"name":"国友, 直人"}]},{"nameIdentifiers":[{"nameIdentifier":"97043","nameIdentifierScheme":"WEKO"}],"names":[{"name":"佐藤, 整尚"}]}]},"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/2010/2010cf758ab.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":"Graduate School of Economics, 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":"97040","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Sato, Seisho"}],"nameIdentifiers":[{"nameIdentifier":"97041","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"},{"subitem_subject":"Asymptotic Distributions","subitem_subject_scheme":"Other"},{"subitem_subject":"Nikkei-225 Futures","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":"On Properties of 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":"On Properties of 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":"42162","relation_version_is_last":true,"title":["On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:24.599189+00:00"}