{"created":"2021-03-01T07:02:29.859632+00:00","id":42588,"links":{},"metadata":{"_buckets":{"deposit":"1963eeb1-f9da-468a-a862-219ea9737119"},"_deposit":{"id":"42588","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42588"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042588","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-893","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 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.","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/2013/2013cf893ab.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_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"}]},"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":"97957","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Misaki, Hiroumi"}],"nameIdentifiers":[{"nameIdentifier":"97958","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Integrated Covariance with Micro-Market Noise","subitem_subject_scheme":"Other"},{"subitem_subject":"Hedging Coefficient","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":"Random Sampling","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":"The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-07-11"},"publish_date":"2013-07-11","publish_status":"0","recid":"42588","relation_version_is_last":true,"title":["The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:42.595807+00:00"}