The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors,Micro-market Price Adjustments and Random Sampling |
| |
Authors: | Email author" target="_blank">Naoto?KunitomoEmail author Hiroumi?Misaki Seisho?Sato |
| |
Institution: | 1.Graduate School of Economics,University of Tokyo,Tokyo,Japan;2.Faculty of Engineering, Information and Systems,University of Tsukuba,Tsukuba City,Japan |
| |
Abstract: | For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (Math Comput Simul 81:1272–1289, 2011; N Am J Econ Finance 26:289–309, 2013) have proposed the separating information maximum likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable finite sample properties and asymptotic properties when the sample size is large when the hidden efficient price process follows a Brownian semi-martingale. We shall show that the SIML estimation is useful for estimating the integrated covariance and hedging coefficient when we have round-off errors, micro-market price adjustments and noises, and when the high-frequency data are randomly sampled. The SIML estimation is consistent, asymptotically normal in the stable convergence sense under a set of reasonable assumptions and it has reasonable finite sample properties with these effects. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|