{"created":"2021-03-01T07:02:48.780092+00:00","id":42867,"links":{},"metadata":{"_buckets":{"deposit":"14240413-e8f8-4efe-9314-b08e75dabdbe"},"_deposit":{"id":"42867","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42867"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042867","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-733","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 including non-Gaussian processes and volatility models. We also show that the SIML estimator has the asymptotic robustness in the sense that it is consistent and it has the asymptotic normality when there are autocorrelations in the market noise terms and there are endogenous correlations between the signal and noise terms.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Forthcoming in Mathematcs and Computers in Simulation (2010), North-Holland.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98559","nameIdentifierScheme":"WEKO"}],"names":[{"name":"国友, 直人"}]},{"nameIdentifiers":[{"nameIdentifier":"98560","nameIdentifierScheme":"WEKO"}],"names":[{"name":"佐藤, 整尚"}]}]},"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/2010/2010cf733ab.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":"Graduate School of Economics, University of Tokyo"},{"subitem_text_value":"Institute of Statistical Mathematics"}]},"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":"98557","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Sato, Seisho"}],"nameIdentifiers":[{"nameIdentifier":"98558","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":"Endogenous Noise","subitem_subject_scheme":"Other"},{"subitem_subject":"Autocorrelated Noise","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":"Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42867","relation_version_is_last":true,"title":["Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:00.889079+00:00"}