The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
Naoto Kunitomo, Hiroumi Misaki, Seisho Sato
| Year of publication: |
September 2015
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| Authors: | Kunitomo, Naoto ; Misaki, Hiroumi ; Sato, Seisho |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 3, p. 333-368
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| Subject: | Integrated covariance | Hedging coefficient | High-frequency financial data | Round-off errors | Micro-market price adjustments and noises | Random sampling | Separating information maximum likelihood (SIML) | Hedging | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Korrelation | Correlation | Statistischer Fehler | Statistical error |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-015-9205-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011524812