{"created":"2021-03-01T07:02:02.523072+00:00","id":42187,"links":{},"metadata":{"_buckets":{"deposit":"a58f2d72-46a3-4e0b-b8ac-d6caf27cd01d"},"_deposit":{"id":"42187","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42187"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042187","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-803","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, 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.","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/2011/2011cf803ab.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":"Institute of Statistical Mathematics"},{"subitem_text_value":"Graduate School of Economics, University of Tokyo"}]},"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":"Sato, Seisho"}],"nameIdentifiers":[{"nameIdentifier":"97106","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Kunitomo, Naoto"}],"nameIdentifiers":[{"nameIdentifier":"97107","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Realized Volatility with 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":"micro-market adjustments","subitem_subject_scheme":"Other"},{"subitem_subject":"Round-off errors","subitem_subject_scheme":"Other"},{"subitem_subject":"Robustness","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":"A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors"}]},"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":"42187","relation_version_is_last":true,"title":["A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:25.337902+00:00"}