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Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Paperback, 1st ed. 2018)
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Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Paperback, 1st ed. 2018)
Series: SpringerBriefs in Statistics
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This book presents a systematic explanation of the SIML (Separating
Information Maximum Likelihood) method, a new approach to financial
econometrics. Considerable interest has been given to the
estimation problem of integrated volatility and covariance by using
high-frequency financial data. Although several new statistical
estimation procedures have been proposed, each method has some
desirable properties along with some shortcomings that call for
improvement. For estimating integrated volatility, covariance, and
the related statistics by using high-frequency financial data, the
SIML method has been developed by Kunitomo and Sato to deal with
possible micro-market noises. The authors show that the SIML
estimator has reasonable finite sample properties as well as
asymptotic properties in the standard cases. It is also shown that
the SIML estimator has robust properties in the sense that it is
consistent and asymptotically normal in the stable convergence
sense when there are micro-market noises, micro-market (non-linear)
adjustments, and round-off errors with the underlying (continuous
time) stochastic process. Simulation results are reported in a
systematic way as are some applications of the SIML method to the
Nikkei-225 index, derived from the major stock index in Japan and
the Japanese financial sector.
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