The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
type: Item
instance of: scholarly article
title: The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
zbMATH Open document ID: 1368.62269
author: Naoto Kunitomo
author: Hiroumi Misaki
author: Seisho Sato
published in: Asia-Pacific Financial Markets
publication date: 2017-08-17T00:00:00Z
full work available at URL: 2015cf965.pdf
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6761455
zbMATH Keywords: integrated covariance
zbMATH Keywords: hedging coefficient
zbMATH Keywords: high-frequency financial data
zbMATH Keywords: round-off errors
zbMATH Keywords: micro-market price adjustments and noises
zbMATH Keywords: random sampling
zbMATH Keywords: separating information maximum likelihood (SIML)
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W1114786332
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DOI: 10.1007/S10690-015-9205-3
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description: scientific article; zbMATH DE number 6761455