A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors

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Material Type: 文書・図像類
Title: A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors
Author/Editor: Sato, Seisho
Kunitomo, Naoto
Author Heading: Sato, Seisho
Kunitomo, Naoto
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2011-06
Publication Date (W3CDTF): 2011-06
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-803
Volume: CIRJE-F-803
Text Language Code: eng
Subject Heading: Realized Volatility with Micro-Market Noise
High-Frequency Data
Separating Information Maximum Likelihood (SIML)
micro-market adjustments
Round-off errors
Robustness
NDC: 335
Target Audience: 一般
Note (General): application/pdf
本文フィルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf803ab.html
Periodical Title (NCID): AA11450569
https://ci.nii.ac.jp/ncid/AA11450569
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ