Misaki, Hiroumi; Kunitomo, Naoto - Center for International Research on the Japanese … - 2013
   For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2008, 2011) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable finite sample...