The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number: 5909199 / rank | |||
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realized volatility | |||
| Property / zbMATH Keywords: realized volatility / rank | |||
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micro-market noise | |||
| Property / zbMATH Keywords: micro-market noise / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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separating information maximum likelihood estimation | |||
| Property / zbMATH Keywords: separating information maximum likelihood estimation / rank | |||
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Nikkei-225 futures | |||
| Property / zbMATH Keywords: Nikkei-225 futures / rank | |||
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Revision as of 11:48, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise |
scientific article |
Statements
The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (English)
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17 June 2011
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realized volatility
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micro-market noise
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high-frequency data
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separating information maximum likelihood estimation
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Nikkei-225 futures
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