The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324)
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scientific article; zbMATH DE number 6761455
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling |
scientific article; zbMATH DE number 6761455 |
Statements
The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (English)
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17 August 2017
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integrated covariance
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hedging coefficient
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high-frequency financial data
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round-off errors
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micro-market price adjustments and noises
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random sampling
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separating information maximum likelihood (SIML)
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0.8510118
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0.8220613
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0.81783605
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0.8143067
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0.8131684
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