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The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling
http://hdl.handle.net/2261/55050
http://hdl.handle.net/2261/5505034e57d85-3c71-4bcf-8ba6-dc88621cddd5
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-07-11 | |||||
| タイトル | ||||||
| タイトル | The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Integrated Covariance with Micro-Market Noise | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Hedging Coefficient | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | High-Frequency Data | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Separating Information Maximum Likelihood (SIML) | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Random Sampling | |||||
| 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× Misaki, Hiroumi |
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| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2008, 2011) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable finite sample properties and asymptotic properties when the sample size is large under general conditions with non-Gaussian processes or volatility models. We shall show that the SIML estimation is useful for estimating the integrated covariance and hedging coefficient when we have micro-market noise and financial high frequency data are randomly sampled. The SIML estimation is consistent and has the stable convergence (i.e. the asymptotic normality in the deterministic case) and it has reasonable finite sample properties with these effects. | |||||
| 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-893, 発行日 2013-06 |
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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 | |||||
| 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/2013/2013cf893ab.html | |||||
