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A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009
We call the realized variance (RV) calculated with observed prices contaminated by microstructure noises (MNs) the noise-contaminated RV (NCRV) and refer to the component in the NCRV associated with the MNs as the MN component. This paper develops a method for estimating the integrated variance...
Persistent link: https://www.econbiz.de/10004975772
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A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2009
We call the realized variance (RV) calculated with observed prices contaminated by microstructure noises (MNs) the noise-contaminated RV (NCRV) and refer to the component in the NCRV associated with the MNs as the MN component. This paper develops a state space method for estimating the...
Persistent link: https://www.econbiz.de/10004991073
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A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
Nagakura, Daisuke; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011
We call the realized variance (RV), calculated with observed prices contaminated by (market) microstructure noises (MNs), the noise-contaminated RV (NCRV), and refer to the bias component in the NCRV, associated with the MNs, as the MN component. This paper develops a state space method for...
Persistent link: https://www.econbiz.de/10009322961
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A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
Nagakura, Daisuke; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2010
Abstract We call the realized variance (RV) calculated with observed prices contaminated by (market) microstructure noises (MNs) the noise-contaminated RV (NCRV), referring to the bias component in the NCRV associated with the MNs as the MN component. This paper develops a state space method for...
Persistent link: https://www.econbiz.de/10008563390
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239349
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A state space approach to estimating the integrated variance and microstructure noise component
Nagakura, Daisuke; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003854536
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - 2010
Persistent link: https://www.econbiz.de/10003940731
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke; Watanabe, Toshiaki - 2010
We call the realized variance (RV) calculated with observed prices contaminated by (market) microstructure noises (MNs) the noise-contaminated RV (NCRV), referring to the bias component in the NCRV associated with the MNs as the MN component. This paper develops a state space method for...
Persistent link: https://www.econbiz.de/10014210221
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A note on the relationship of the ordered and sequential probit models to the multinomial probit model
Nagakura, Daisuke (contributor) - In: Economics bulletin : EB (2004)
Persistent link: https://www.econbiz.de/10003074848