The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling

DOI10.1007/S10690-015-9205-3MaRDI QIDQ2013324zbMATH OpenOpenAlexFDO

Authors Naoto Kunitomo, Hiroumi Misaki, Seisho Sato

Publication date 17 August 2017

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL http://www.cirje.e.u-tokyo.ac.jp/research/dp/2015/2015cf965.pdf

zbMATH Keywords

high-frequency financial datarandom samplinground-off errorsintegrated covariancehedging coefficientmicro-market price adjustments and noisesseparating information maximum likelihood (SIML)

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
• Mixed Gaussian Heston asset pricing model and statistics simulation analysis
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Hedging using simulation: a least squares approach
• Static hedging of multivariate derivatives by simulation
• Covariance estimation and algorithm implementation of hedge fund distributional-replicating approach
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A Tale of Two Time Scales
• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Discretization of processes.
• Integrated volatility and round-off error
• Microstructure noise in the continuous case: the pre-averaging approach
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• On covariance estimation of non-synchronously observed diffusion processes
• On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
• SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise

Cited in

(4)

• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
• The SIML method without microstructure noise
• Integrated volatility and round-off error

This page was built for publication: The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013324)