Separating Information Maximum Likelihood Method for High-Frequency Financial Data (SpringerBriefs in Statistics) - Softcover
Synopsis
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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About the Author
Naoto Kunitomo, Meiji University
Seisho Sato, The University of Tokyo
Daisuke Kurisu, Tokyo Institute of Technology
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Separating Information Maximum Likelihood Method for High-Frequency Financial Data (eng)
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Separating Information Maximum Likelihood Method for High-Frequency Financial Data
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 114 pp. Englisch. Seller Inventory # 9784431559283
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The Siml Estimation for High Frequency (Springerbriefs in Statistics)
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The Siml Estimation for High Frequency (Springerbriefs in Statistics)
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Gives a systematic treatment of SIML (Separating Information Maximum Likelihood) method in financial econometricsDiscusses a robust estimation method for integrated volatility, covariance, and hedging coefficient by using high-frequency financial . Seller Inventory # 84907772
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Separating Information Maximum Likelihood Method for High-Frequency Financial Data
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Taschenbuch. Condition: Neu. Separating Information Maximum Likelihood Method for High-Frequency Financial Data | Naoto Kunitomo (u. a.) | Taschenbuch | viii | Englisch | 2018 | Springer Japan | EAN 9784431559283 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. Seller Inventory # 111092163
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9784431559283