Realized volatility, covariance and hedging coefficient of the nikkei-225 futures with micro-market noise

Naoto Kunitomo, Seisho Sato

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

For the estimation problem of the realized volatility, covariance and hedging coefficient by using high frequency data with possibly micro-market noises, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato (2008a,b). By analyzing the Nikkei 225 futures and spot index markets, we have found that the estimates of realized volatility, covariance and hedging coefficient have significant bias by the traditional method which should be corrected. Our method can handle the estimation bias and the tick-size effects of Nikkei 225 futures by removing the possible micro-market noise in multivariate high frequency data.

Original languageEnglish
Title of host publication18th World IMACS Congress and MODSIM 2009 - International Congress on Modelling and Simulation
Subtitle of host publicationInterfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings
EditorsR.S. Anderssen, R.D. Braddock, L.T.H. Newham
PublisherModelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ)
Pages1321-1327
Number of pages7
ISBN (Electronic)9780975840078
Publication statusPublished - 2020
Event18th World IMACS Congress and International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, MODSIM 2009 - Cairns, Australia
Duration: 13 Jul 200917 Jul 2009

Publication series

Name18th World IMACS Congress and MODSIM 2009 - International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings

Conference

Conference18th World IMACS Congress and International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, MODSIM 2009
CountryAustralia
CityCairns
Period13/07/0917/07/09

Keywords

  • High-Frequency Data
  • Micro-Market Noise
  • Nikkei 225 Futures Tick Size Effects
  • Realized Covariance
  • Realized Hedging Coefficient
  • Realized Volatility
  • Separating Information Maximum Likelihood (SIML)

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  • Cite this

    Kunitomo, N., & Sato, S. (2020). Realized volatility, covariance and hedging coefficient of the nikkei-225 futures with micro-market noise. In R. S. Anderssen, R. D. Braddock, & L. T. H. Newham (Eds.), 18th World IMACS Congress and MODSIM 2009 - International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings (pp. 1321-1327). (18th World IMACS Congress and MODSIM 2009 - International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings). Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ).