The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise

DOI10.1016/J.MATCOM.2010.08.003MaRDI QIDQ543441zbMATH OpenOpenAlexFDO

Authors Naoto Kunitomo, Seisho Sato

Publication date 17 June 2011

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2010.08.003

zbMATH Keywords

realized volatilityhigh-frequency datamicro-market noiseNikkei-225 futuresseparating information maximum likelihood estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• A Tale of Two Time Scales
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Diffusions with measurement errors. II. Optimal estimators
• Moving Average-Based Estimators of Integrated Variance
• On covariance estimation of non-synchronously observed diffusion processes
• The Distribution of Realized Exchange Rate Volatility

Cited in

(2)

• 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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