Kunitomo, Naoto; Sato, Seisho - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1272-1289
For the estimation problem of the realized volatility and hedging coefficient by using high-frequency data with possibly micro-market noise, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato [11–13]. By analyzing the...
