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

抄録

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.

本文言語English
ホスト出版物のタイトル18th World IMACS Congress and MODSIM 2009 - 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
編集者R.S. Anderssen, R.D. Braddock, L.T.H. Newham
出版社Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ)
ページ1321-1327
ページ数7
ISBN(電子版)9780975840078
出版ステータスPublished - 2020
イベント18th World IMACS Congress and International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, MODSIM 2009 - Cairns, Australia
継続期間: 13 7 200917 7 2009

出版物シリーズ

名前18th 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

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