On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling

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Material Type: 文書・図像類
Title: On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling
Author/Editor: Misaki, Hiroumi
Kunitomo, Naoto
Author Heading: Misaki, Hiroumi
Kunitomo, Naoto
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2013-06
Publication Date (W3CDTF): 2013-06
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-892
Volume: CIRJE-F-892
Text Language Code: eng
Subject Heading: Integrated Volatility with Micro-Market Noise
High-Frequency Data
Separating Information Maximum Likelihood (SIML)
Random Sampling
Asymptotic Robustness
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/2013/2013cf892ab.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