{"created":"2021-03-01T07:02:29.927051+00:00","id":42589,"links":{},"metadata":{"_buckets":{"deposit":"894e2494-e435-4a87-8828-b285198553d5"},"_deposit":{"id":"42589","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42589"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042589","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-892","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 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.","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/2013/2013cf892ab.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":"Misaki, Hiroumi"}],"nameIdentifiers":[{"nameIdentifier":"97959","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Kunitomo, Naoto"}],"nameIdentifiers":[{"nameIdentifier":"97960","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Integrated 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":"Random Sampling","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic 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":"On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"On Robust Properties of the SIML Estimation of Volatility 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":"42589","relation_version_is_last":true,"title":["On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:15:41.112028+00:00"}