The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise

DOI10.1016/j.matcom.2010.08.003zbMath1214.91141OpenAlexW2122002158MaRDI QIDQ543441

Naoto Kunitomo, Seisho Sato

Publication date: 17 June 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.08.003

zbMATH Keywords

high-frequency datarealized volatilitymicro-market noiseNikkei-225 futuresseparating information maximum likelihood estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling

Cites Work

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• On covariance estimation of non-synchronously observed diffusion processes
• Moving Average-Based Estimators of Integrated Variance
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Diffusions with measurement errors. II. Optimal estimators
• The Distribution of Realized Exchange Rate Volatility
• A Tale of Two Time Scales

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