The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5909199
@@ Property / zbMATH DE Number: 5909199 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realized volatility
@@ Property / zbMATH Keywords: realized volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+micro-market noise
@@ Property / zbMATH Keywords: micro-market noise / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-frequency data
@@ Property / zbMATH Keywords: high-frequency data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+separating information maximum likelihood estimation
+Normal rank
@@ Property / zbMATH Keywords @@
+Nikkei-225 futures
@@ Property / zbMATH Keywords: Nikkei-225 futures / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2010.08.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2122002158
@@ Property / OpenAlex ID: W2122002158 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. II. Optimal estimators
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Moving Average-Based Estimators of Integrated Variance
+Normal rank
@@ Property / cites work @@
+On covariance estimation of non-synchronously observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:543441