Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
DOI10.1007/S42081-022-00172-0zbMATH Open1499.62381OpenAlexW4288826009MaRDI QIDQ2103295FDOQ2103295
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
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- scientific article; zbMATH DE number 7710538
- Nonparametric estimation of jump characteristics under market microstructure noise
stable convergenceintegrated volatilityseparating information maximum likelihood (SIML)high-frequency data analysishigher order Brownian and jump functionalslocal SIML estimation
Cites Work
- Microstructure noise in the continuous case: the pre-averaging approach
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- A Tale of Two Time Scales
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- Discretization of processes.
- A Fourier transform method for nonparametric estimation of multivariate volatility
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- Stable Convergence and Stable Limit Theorems
- Separating information maximum likelihood method for high-frequency financial data
- Fourier-Malliavin Volatility Estimation
- Detecting factors of quadratic variation in the presence of market microstructure noise
- Effects of jumps and small noise in high-frequency financial econometrics
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
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 estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- The SIML method without microstructure noise
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