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On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling

On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling
Paper文書・図像類
Misaki, Hiroumi, Kunitomo, Naoto日本経済国際共同センター2013-06Discussion paper series. CIRJE-FCIRJE-F-892
Other Libraries in Japan
  • Subject HeadingIntegrated Volatility with Micro-Market Noise High-Frequency Data Separatin...

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 Hedging Coefficient High-Freq...

Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise

Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility 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2010-04Discussion paper series. CIRJE-FCIRJE-F-733
Other Libraries in Japan
  • Subject HeadingRealized Volatility with Micro-Market Noise High-Frequency Data Separatin...

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 Heading...zed Covariance Micro-Market Noise High-Frequency Data Separatin...

A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors

A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors
Paper文書・図像類
Sato, Seisho, Kunitomo, Naoto日本経済国際共同センター2011-06Discussion paper series. CIRJE-FCIRJE-F-803
Other Libraries in Japan
  • Subject HeadingRealized Volatility with Micro-Market Noise High-Frequency Data Separatin...

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 Heading...zed Covariance Micro-Market Noise High-Frequency Data Separatin...

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 Heading...ng Coefficient Micro-Market Noise High-Frequency Data Separatin...

Recent Developments in Financial Economics and Econometrics: An Overview

Recent Developments in Financial Economics and Econometrics: An Overview
Digital文書・図像類
Chang, Chia-Lin, Allen, David E., McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper842
Available onlineOther Libraries in Japan
  • Summary, etc....ovariance with micro-market noise, stress testing correlation m...
  • Subject Heading...iquidity shock micro-market noise corporate risk taking options...

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