Separating Information Maximum Likelihood Method for High-Frequency Financial Data

Separating Information Maximum Likelihood Method for High-Frequency Financial Data

Kunitomo, Naoto; Kurisu, Daisuke; Sato, Seisho

Springer Verlag, Japan

07/2018

114

Mole

Inglês

9784431559283

15 a 20 dias

454

Descrição não disponível.

1. Introduction.- 2. High-Frequency Financial Data and Statistical Problems.- 3. The SIML method.- 4. Asymptotic Properties.- 5. Simulation and Finite Sample Properties.- 6. Asymptotic Robustness.- 7. Two Dimension Applications.- 8. Concluding Remarks.- 9. References.

Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.

Hedging and Risk Managements;High-Frequency Financial Data;Integrated Volatility and Covariance with Micro-Market Noise;Micro-Market Adjustments;Round-off Errors;Separating Information Maximum Likelihood (SIML)