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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
  • Subject Heading...ted covariance Market microstructure noise Nonsynchronous observations P...

A Test for Dependence and Covariance Estimator of Market Microstructure Noise

A Test for Dependence and Covariance Estimator of Market Microstructure Noise
Paper文書・図像類
Ubukata, Masato, Oya, KosukeGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2008-03Discussion Papers In Economics And Business07-03-Rev.2
Other Libraries in Japan
  • Subject Headingtest statistic market microstructure noise time-dependence nonsynchronou...
  • Note (General)...thepresence of market microstructure noise. It is important to know a de...

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data
Digital文書・図像類
増田, 弘毅, 森本, 孝之Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Subject Headinghigh-frequency data market microstructure noise realized volatility Japanese ...

Nonparametric Stochastic Volatility

Nonparametric Stochastic Volatility
Digital文書・図像類
Bandi, Federico M., Ren?, RobertoInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Summary, etc....n by virtue of market microstructure noise-contaminated high-frequency a...
  • Subject Heading...ods recurrence market microstructure noise

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