The SIML method without microstructure noise

DOI10.1007/S42081-024-00249-YMaRDI QIDQ6670081

Ryuya Namba, Atsuhito Watanabe, Jirô Akahori

Publication date: 22 January 2025

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic normalitynon-parametric estimationMalliavin-Mancino's Fourier estimatorSIML method

Mathematics Subject Classification ID

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Cites Work

• Title not available (Why is that?)
• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
• Limit theorems in the Fourier transform method for the estimation of multivariate volatility
• Separating information maximum likelihood method for high-frequency financial data
• Detecting factors of quadratic variation in the presence of market microstructure noise
• Realized volatility with stochastic sampling
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Fourier series method for measurement of multivariate volatilities
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Estimation of quarticity with high-frequency data
• Fourier-Malliavin Volatility Estimation
• The Malliavin Calculus and Related Topics

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