Name: Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Springerbriefs in Statistics) (en Inglés)
Price: 57980.00 CLP
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Author: Naoto Kunitomo; Seisho Sato; Daisuke Kurisu
ISBN: 9784431559283

portada Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Springerbriefs in Statistics) (en Inglés)

Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Springerbriefs in Statistics) (en Inglés)

Formato

Libro Físico

Editorial

Springer

Autor

Naoto Kunitomo; Seisho Sato; Daisuke Kurisu

Año

2018

Idioma

Inglés

N° páginas

124

Encuadernación

Tapa Blanda

ISBN13

9784431559283

N° edición

Categorías

Econometría

Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Springerbriefs in Statistics) (en Inglés)

Naoto Kunitomo; Seisho Sato; Daisuke Kurisu (Autor) · Springer · Tapa Blanda

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Reseña del libro "Separating Information Maximum Likelihood Method for High-Frequency Financial Data (Springerbriefs in Statistics) (en Inglés)"

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.