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The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling

The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling
Paper文書・図像類
Kunitomo, Naoto, Misaki, Hiroumi日本経済国際共同センター2013-06Discussion paper series. CIRJE-FCIRJE-F-893
Other Libraries in Japan
  • Subject HeadingIntegrated Covariance with Micro-Market Noise Hedgi...

Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling

Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling
Digital文書・図像類
Koike, YutaInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Summary, etc....estimating the integrated covariance of two diffusion processes ob...
  • Subject Heading...hida estimator Integrated covariance Market microstructure noise N...

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