Local SIML estimation of some Brownian and jump functionals under market micro-structure noise

DOI10.1007/S42081-022-00172-0zbMATHOpenAlexMaRDI QIDQ2103295FDO

Authors Naoto Kunitomo, Seisho Sato

Publication date 13 December 2022

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42081-022-00172-0

zbMATH Keywords

stable convergenceintegrated volatilityseparating information maximum likelihood (SIML)high-frequency data analysishigher order Brownian and jump functionalslocal SIML estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• A Fourier transform method for nonparametric estimation of multivariate volatility
• A Tale of Two Time Scales
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Detecting factors of quadratic variation in the presence of market microstructure noise
• Discretization of processes.
• Effects of jumps and small noise in high-frequency financial econometrics
• Fourier-Malliavin Volatility Estimation
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Microstructure noise in the continuous case: the pre-averaging approach
• Separating information maximum likelihood method for high-frequency financial data
• Stable convergence and stable limit theorems

Cited in

(4)

• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• The SIML method without microstructure noise
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling

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