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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Hlavný autor: Kunitomo, Naoto (Autor)
Médium: Elektronický zdroj E-kniha
Jazyk:English
Vydavateľské údaje: Tokyo : Springer Japan , 2018.
Vydanie:1st ed. 2018.
Edícia:JSS Research Series in Statistics,
Predmet:
Statistics .
ISBN:9784431559306
ISSN:2364-0057
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Obsah:
  • 1. Introduction
  • 2. High-Frequency Financial Data and Statistical Problems
  • 3. The SIML method
  • 4. Asymptotic Properties
  • 5. Simulation and Finite Sample Properties
  • 6. Asymptotic Robustness
  • 7. Two Dimension Applications
  • 8. Concluding Remarks
  • 9. References.

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