The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
From MaRDI portal
Publication:543441
DOI10.1016/j.matcom.2010.08.003zbMath1214.91141MaRDI QIDQ543441
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
high-frequency data; realized volatility; micro-market noise; Nikkei-225 futures; separating information maximum likelihood estimation
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
Cites Work
- Unnamed Item
- Unnamed Item
- On covariance estimation of non-synchronously observed diffusion processes
- Moving Average-Based Estimators of Integrated Variance
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Diffusions with measurement errors. II. Optimal estimators
- The Distribution of Realized Exchange Rate Volatility
- A Tale of Two Time Scales