Loading, please wait...

product description page

Siml Estimation for High-frequency Financial Data With Micro-market Noise - (Paperback)

Siml Estimation for High-frequency Financial Data With Micro-market Noise -  (Paperback) - image 1 of 1

About this item

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.
Genre: Mathematics, Business + Money Management, Computers + Internet
Series Title: Jss Research Series in Statistics
Format: Paperback
Publisher: Springer Nature
Author: Seisho Sato & Naoto Kunitomo
Language: English
Street Date: July 2, 2018
TCIN: 51941359
UPC: 9784431559283
Item Number (DPCI): 248-37-3239
If the item details above aren’t accurate or complete, we want to know about it. Report incorrect product info.

Guest reviews

Prices, promotions, styles and availability may vary by store & online. See our price match guarantee. See how a store is chosen for you.