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

Naoto Kunitomo, Seisho Sato

研究成果: Conference contribution

抜粋

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.

元の言語English
ホスト出版物のタイトル18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation
ホスト出版物のサブタイトルInterfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings
ページ1321-1327
ページ数7
出版物ステータスPublished - 1 12 2009
イベント18th World IMACS Congress and International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, MODSIM09 - Cairns, QLD, Australia
継続期間: 13 7 200917 7 2009

出版物シリーズ

名前18th World IMACS Congress and MODSIM09 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, MODSIM09
Australia
Cairns, QLD
期間13/07/0917/07/09

フィンガープリント Realized volatility, covariance and hedging coefficient of the Nikkei-225 futures with micro-market noise' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。

  • これを引用

    Kunitomo, N., & Sato, S. (2009). Realized volatility, covariance and hedging coefficient of the Nikkei-225 futures with micro-market noise. : 18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings (pp. 1321-1327). (18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings).