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

DOI10.1007/S10690-015-9205-3zbMATH Open1368.62269OpenAlexW1114786332MaRDI QIDQ2013324FDOQ2013324

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

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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)

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Cited In (4)

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

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