The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise
Year of publication: |
2011
|
---|---|
Authors: | Kunitomo, Naoto ; Sato, Seisho |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 81.2011, 7, p. 1272-1289
|
Publisher: |
Elsevier |
Subject: | Realized volatility | Micro-market noise | High-frequency data | Separating Information Maximum Likelihood estimation | Nikkei-225 Futures |
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