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~subject:"Market microstructure"
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Market microstructure
Volatility
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Realized covariance matrix
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market microstructure noise
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test statistic
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English
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Ubukata, Masato
5
Watanabe, Toshiaki
3
Oya, Kosuke
2
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Global COE Hi-Stat discussion paper series
1
IMES discussion paper series
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
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The Japanese economic review : the journal of the Japanese Economic Association
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ECONIS (ZBW)
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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
-
2013
Persistent link: https://www.econbiz.de/10009689980
Saved in:
2
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
-
2011
Persistent link: https://www.econbiz.de/10009311822
Saved in:
3
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
- In:
The Japanese economic review : the journal of the …
65
(
2014
)
4
,
pp. 431-467
Persistent link: https://www.econbiz.de/10010499672
Saved in:
4
Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato
;
Oya, Kosuke
- In:
Recent advances in financial engineering : proceedings …
,
(pp. 201-218)
.
2009
Persistent link: https://www.econbiz.de/10003871191
Saved in:
5
Estimation and testing for dependence in market microstructure noise
Ubukata, Masato
;
Oya, Kosuke
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 106-151
Persistent link: https://www.econbiz.de/10003826489
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