Separating Information Maximum Likelihood Method for High-Frequency Financial Data

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. Althoug...

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Bibliographic Details

Main Author:	Kunitomo, Naoto (Author)
Format:	Electronic eBook
Language:	English
Published:	Tokyo : Springer Japan , 2018.
Edition:	1st ed. 2018.
Series:	JSS Research Series in Statistics,
Subjects:	Statistics .
ISBN:	9784431559306
ISSN:	2364-0057
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