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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 : a … 26 (2013), pp. 282-309
Persistent link: https://www.econbiz.de/10010365764
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The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
Kunitomo, Naoto; Misaki, Hiroumi; Sato, Seisho - In: Asia-Pacific financial markets 22 (2015) 3, pp. 333-368
Persistent link: https://www.econbiz.de/10011524812
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Stationary and non-stationary simultaneous switching autoregressive models with an application to financial time series
Kunitomo, Naoto; Sato, Seisho - In: The Japanese economic review : the journal of the … 50 (1999) 2, pp. 161-190
Persistent link: https://www.econbiz.de/10001470186
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Asymmetry in economic time series and the simultaneous switching autoregressive model
Kunitomo, Naoto - In: Structural change and economic dynamics : SC+ED 7 (1996) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001196687
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Estimation of asymmetrical volatility for asset prices : the simultaneous switching ARIMA approach
Kunitomo, Naoto; Sato, Seisho - 1996
Persistent link: https://www.econbiz.de/10000950664
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On the simultaneous switching autoregressive model
Kunitomo, Naoto; Sato, Seisho - In: Nonlinear statistical modeling : proceedings of the …, (pp. 363-391). 2000
Persistent link: https://www.econbiz.de/10001587933
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Backward smoothing for noisy non-stationary time series
Sato, Seisho; Kunitomo, Naoto - 2021
Persistent link: https://www.econbiz.de/10012813370
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"The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling"
Kunitomo, Naoto; Misaki, Hiroumi; Sato, Seisho - Center for International Research on the Japanese … - 2015
For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and...
Persistent link: https://www.econbiz.de/10011246093
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Asymmetry in economic time series and the simultaneous switching autoregressive model
Kunitomo, Naoto; Sato, Seisho - In: Structural Change and Economic Dynamics 7 (1996) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10005331946
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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
For estimating the integrated volatility and covariance by using high frequency financial data, we propose the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises. The resulting estimator, which is represented as a specific quadratic form of...
Persistent link: https://www.econbiz.de/10010730254