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On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling
http://hdl.handle.net/2261/55051
http://hdl.handle.net/2261/55051d6e7c869-77be-43dc-bb6f-d49384134b31
| 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 | On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Integrated Volatility with Micro-Market Noise | |||||
| 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 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic Robustness | |||||
| 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 |
Misaki, Hiroumi
× Misaki, Hiroumi× Kunitomo, Naoto |
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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 estimator has the asymptotic robustness property in the sense that it is consistent and has the stable convergence (i.e. the asymptotic normality in the deterministic case) when there are micro-market noises and the observed high-frequency data are sampled randomly with the underlying (continuous time) stochastic process. The SIML estimation has also 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-892, 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/2013/2013cf892ab.html | |||||
