Separating Information Maximum Likelihood Method for High-Frequency Financial Data (JSS Research Series in Statistics) - Softcover

Kunitomo, Naoto; Sato, Seisho; Kurisu, Daisuke

 
9784431559283: Separating Information Maximum Likelihood Method for High-Frequency Financial Data (JSS Research Series in Statistics)
Softcover
ISBN 10: 4431559280 ISBN 13: 9784431559283
Verlag: Springer, 2018

Inhaltsangabe

This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics.
Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data. Although several new statistical estimation procedures have been proposed, each method has some desirable properties along with some shortcomings that call for improvement. For estimating integrated volatility, covariance, and the related statistics by using high-frequency financial data, the SIML method has been developed by Kunitomo and Sato to deal with possible micro-market noises.
The authors show that the SIML estimator has reasonable finite sample properties as well as asymptotic properties in the standard cases. It is also shown that the SIML estimator has robust properties in the sense that it is consistent and asymptotically normal in the stable convergence sense when there are micro-market noises, micro-market (non-linear) adjustments, and round-off errors with the underlying (continuous time) stochastic process. Simulation results are reported in a systematic way as are some applications of the SIML method to the Nikkei-225 index, derived from the major stock index in Japan and the Japanese financial sector.

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Über die Autorin bzw. den Autor

Naoto Kunitomo, Meiji University

Seisho Sato, The University of Tokyo

Daisuke Kurisu, Tokyo Institute of Technology

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Verlag
Springer
Erscheinungsdatum
2018
Sprache
Englisch
ISBN 10 
4431559280
ISBN 13 
9784431559283
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
124
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Weitere beliebte Ausgaben desselben Titels

9784431559290: Separating Information Maximum Likelihood Method for High-Frequency Financial Data

Vorgestellte Ausgabe

ISBN 10:  4431559299 ISBN 13:  9784431559290
Verlag: Springer, 2018
Softcover