The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
DOI10.1016/J.MATCOM.2010.08.003zbMATH Open1214.91141OpenAlexW2122002158MaRDI QIDQ543441FDOQ543441
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
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realized volatilityhigh-frequency datamicro-market noiseNikkei-225 futuresseparating information maximum likelihood estimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- The Distribution of Realized Exchange Rate Volatility
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Title not available (Why is that?)
- A Tale of Two Time Scales
- Title not available (Why is that?)
- Diffusions with measurement errors. II. Optimal estimators
- On covariance estimation of non-synchronously observed diffusion processes
- Moving Average-Based Estimators of Integrated Variance
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