On robust properties of the SIML estimation of volatility under micro-market noise and random sampling
Hiroumi Misaki, Naoto Kunitomo
| Year of publication: |
November 2015
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| Authors: | Misaki, Hiroumi ; Kunitomo, Naoto |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 265-281
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| Subject: | Integrated volatility with micro-market noise | High-frequency data | Separating Information Maximum Likelihood (SIML) | Random sampling | Asymptotic robustness | Volatilität | Volatility | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.02.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011573588