Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
type: Item
instance of: scholarly article
title: Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
zbMATH Open document ID: 1499.62381
author: Naoto Kunitomo
author: Seisho Sato
published in: Japanese Journal of Statistics and Data Science
publication date: 2022-12-13T00:00:00Z
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7632482
zbMATH Keywords: high-frequency data analysis
zbMATH Keywords: integrated volatility
zbMATH Keywords: separating information maximum likelihood (SIML)
zbMATH Keywords: higher order Brownian and jump functionals
zbMATH Keywords: stable convergence
zbMATH Keywords: local SIML estimation
MaRDI profile type: Publication
full work available at URL: s42081-022-00172-0
OpenAlex ID: W4288826009
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cites work: Detecting factors of quadratic variation in the presence of market microstructure noise
cites work: Separating information maximum likelihood method for high-frequency financial data
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cites work: Fourier-Malliavin Volatility Estimation
cites work: A Tale of Two Time Scales
DOI: 10.1007/S42081-022-00172-0
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description: scientific article; zbMATH DE number 7632482