A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise

• Material Type: 文書・図像類
• Title: A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
• Author/Editor: ナガクラ, ダイスケ; 渡部, 敏明
• Author Heading: ナガクラ, ダイスケ; 渡部, 敏明 ワタナベ, トシアキ; https://nrid.nii.ac.jp/nrid/1000090254135/
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2011-08
• Publication Date (W3CDTF): 2011-08
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: Realized Variance; Integrated Variance; Microstructure Notice; State Space; Identification; Exchange Rate
• Target Audience: 一般
• Note (General): This is a revised version of Global COE Hi-Stat Discussion Paper Series 115; グローバルCOEプログラム = Global COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/19254/gd11-200.pdf
• Access Restrictions: インターネット公開
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 200
• 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): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: We call the realized variance (RV), calculated with observed prices contaminated by (market) microstructure noises (MNs), the noise-contaminated RV (N...