Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise
Naoto Kunitomo; Seisho Sato
| Year of publication: |
2013
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|---|---|
| Authors: | Kunitomo, Naoto ; Sato, Seisho |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 282-309
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| Subject: | Integrated volatility | Integrated covariance | Micro-market noise | High-frequency data | Separating Information Maximum Likelihood (SIML) | Nikkei-225 futures | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Korrelation | Correlation | Marktmikrostruktur | Market microstructure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010365764