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Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
Digital文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Summary, etc....thout handling microstructure noise, non-trading h......s for reducing microstructure noise-induced bias yield better per...
  • Subject Headingmicrostructure noise Nikkei 225 stock index non-tr...

Option Pricing Using Realized Volatility and ARCH Type Models

Option Pricing Using Realized Volatility and ARCH Type Models
Digital文書・図像類
渡部, 敏明, 生方, 雅人Institute of Economic Research, Hitotsubashi University2009-04
Available onlineOther Libraries in Japan
  • Summary, etc....ing account of microstructure noise and with or wi......ake account of microstructure noise does not improve the performa...
  • Subject HeadingARFIMA GARCH Microstructure Noise Option Realized Volatility

An empirical analysis of the Nikkei 225 put options using realized GARCH models

An empirical analysis of the Nikkei 225 put options using realized GARCH models
Digital文書・図像類
竹内, 明香Institute of Economic Research, Hitotsubashi University2012-09
Available onlineOther Libraries in Japan
  • Summary, etc....ence of market microstructure noise and non-trading hours, and th...
  • Subject Headingput option pricing realized GARCH non-trading hours microstructure noise Nikkei 225 stock index

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

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
Digital文書・図像類
長倉, 大輔, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2010-02
Available onlineOther Libraries in Japan
  • Summary, etc....ed by (market) microstructure noises (MNs) the noise-contaminated...
  • Subject HeadingRealized Variance Integrated Variance Microstructure Noise State Space Identification Ex...

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...ariance Market microstructure noise Nonsynchronous observations P...

A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component

A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Digital文書・図像類
長倉, 大輔, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-04
Available onlineOther Libraries in Japan
  • Summary, etc....ontaminated by microstructure noises (MNs) the noise-contaminated...
  • Subject HeadingRealized Variance Integrated Variance Microstructure Noise State Space Identification Ex...

Subsampling Cumulative Covariance Estimator

Subsampling Cumulative Covariance Estimator
Digital文書・図像類
Kanatani, Taro滋賀大学経済学部2009-02滋賀大学経済学部Working PaperNo. 104p.1-16
Other Libraries in Japan
  • Subject Heading...us observation Microstructure noise Cumulative covariance estimat...

Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations

Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations
Digital文書・図像類
Kanatani, TaroInstitute of Economic Research, Kyoto University2007-06KIER Discussion Paper634
Available onlineOther Libraries in Japan
  • Summary, etc....taminated with microstructure noise. This framework enables us to...
  • Subject Heading...s) observation Microstructure noise

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)...ence of market microstructure noise. It is importa......s of the marketmicrostructure noises.

Information Loss in Volatility Measurement with Flat Price Trading

Information Loss in Volatility Measurement with Flat Price Trading
Digital文書・図像類
Phillips, Peter C. B., Jun, YuInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Summary, etc....de models with microstructure noise. Some simulati......t theory under microstructure noise is likely to be minor in most...
  • Subject Heading...g Flat trading Microstructure noise Quarticity function Realized ...

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....rtue of market microstructure noise-contaminated high-frequency a...
  • Subject Heading...urrence market microstructure noise

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