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Integrated covariance
Nikkei 225 futures
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High-frequency data
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Japan
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Micro-market noise
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Börsenkurs
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Derivat
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Derivative
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Estimation
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Integrated volatility
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Nikkei-225 futures
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Schätzung
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Separating Information Maximum Likelihood (SIML)
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Share price
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VECM
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Volatility
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Volatilität
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buy-and-hold strategy
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information transmission
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market efficiency
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price adjustment
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price discovery
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smooth transition
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technical analysis
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trading simulation
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Dow Jones futures
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KOSPI200 futures
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Kunitomo, Naoto
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Sato, Seisho
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The North American Journal of Economics and Finance
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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:
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