The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
DOI10.1007/s10690-015-9205-3zbMath1368.62269OpenAlexW1114786332MaRDI QIDQ2013324
Naoto Kunitomo, Seisho Sato, Hiroumi Misaki
Publication date: 17 August 2017
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2015/2015cf965.pdf
random samplinground-off errorsintegrated covariancehigh-frequency financial datahedging coefficientmicro-market price adjustments and noisesseparating information maximum likelihood (SIML)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Economic time series analysis (91B84)
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