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~person:"Kunitomo, Naoto"
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Search: subject:"Nikkei 225 futures"
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High-frequency data
3
Micro-market noise
3
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Nikkei-225 futures
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Separating Information Maximum Likelihood (SIML)
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Maximum-Likelihood-Schätzung
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Nikkei-225 Futures
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Noise Trading
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Noise trading
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Realized volatility
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Schätztheorie
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Separating Information Maximum Likelihood estimation
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Kunitomo, Naoto
Sato, Seisho
3
Green, Christopher J.
2
Kang, Byung-Kook
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Qin, Jieye
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Sirichand, Kavita
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Bagchi, Debasis
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Liu, Shinhua
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The North American journal of economics and finance : a journal of financial economics studies
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Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise
Kunitomo, Naoto
;
Sato, Seisho
- In:
The North American Journal of Economics and Finance
26
(
2013
)
C
,
pp. 282-309
correlated with the efficient market price process. We illustrate the use of SIML by analyzing
Nikkei
-
225
futures
, which are the …
Persistent link: https://www.econbiz.de/10010730254
Saved in:
2
Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise
Kunitomo, Naoto
;
Sato, Seisho
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 282-309
Persistent link: https://www.econbiz.de/10010365764
Saved in:
3
The SIML estimation of realized volatility of the
Nikkei
-
225
Futures
and hedging coefficient with micro-market noise
Kunitomo, Naoto
;
Sato, Seisho
- In:
Mathematics and Computers in Simulation (MATCOM)
81
(
2011
)
7
,
pp. 1272-1289
by Kunitomo and Sato [11–13]. By analyzing the
Nikkei
-
225
Futures
data, we found that the estimates of realized …
Persistent link: https://www.econbiz.de/10010869922
Saved in:
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