The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441)
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scientific article; zbMATH DE number 5909199
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| English | The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise |
scientific article; zbMATH DE number 5909199 |
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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0.8321893811225891
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0.7869300246238708
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0.77531898021698
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0.7568838000297546
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0.7512985467910767
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