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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 HeadingHigh frequency data Realized covariance Nonsynchronous observation Mi...

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....MSE of several realized covariance estimators when using nonsync...
  • Subject HeadingHigh frequency data Weighted realized covariance Nonsynchronous (asynchronous)...

Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
Paper文書・図像類
Kunitomo, Naoto, Seisho, Sato日本経済国際共同センター2008-08Discussion paper series. CIRJE-FCIRJE-F-581
Other Libraries in Japan
  • Subject HeadingRealized Volatility Realized Covariance Micro-Market Noise High-Frequ...

On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
Paper文書・図像類
Kunitomo, Naoto, Sato, Seisho日本経済国際共同センター2010-08Discussion paper series. CIRJE-FCIRJE-F-758
Other Libraries in Japan
  • Subject HeadingRealized Volatility Realized Covariance Micro-Market Noise High-Frequ...

Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise

Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise
Paper文書・図像類
Kunitomo, Naoto, Seisho, Sato日本経済国際共同センター2008-11Discussion paper series. CIRJE-FCIRJE-F-601
Other Libraries in Japan
  • Subject HeadingRealized Volatility Realized Covariance Realized Hedging Coefficient ...

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