Paper Info
Title
The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise
Abstract
For the estimation problem of the realized volatility and hedging coefficient by using high-frequency data with possibly micro-market noise, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato [11-13]. By analyzing the Nikkei-225 Futures data, we found that the estimates of realized volatility and the hedging coefficients have significant bias by using the traditional historical method which should be corrected. The SIML method can handle the bias problem in the estimation by removing the possible micro-market noise in multivariate high-frequency data. We show that the SIML method has the asymptotic robustness under non-Gaussian cases even when the market noises are autocorrelated and endogenous with the efficient market price or the signal term.
Year
DOI
Venue
2011
10.1016/j.matcom.2010.08.003
Mathematics and Computers in Simulation
Keywords
Field
DocType
micro-market noise,market noise,realized volatility,high-frequency data,estimation problem,nikkei-225 futures data,siml estimation,bias problem,efficient market price,siml method,separating information maximum likelihood estimation,multivariate high-frequency data,hedging coefficient,nikkei-225 futures,traditional historical method
Econometrics,Realized variance,Futures contract,Market price,Maximum likelihood,Robustness (computer science),Hedge (finance),Statistics,Mathematics,Autocorrelation
Journal
Volume
Issue
ISSN
81
7
Mathematics and Computers in Simulation
Citations 
PageRank 
References 
0
0.34
0
Authors
2
Name
Order
Citations
PageRank
Naoto Kunitomo100.68
S. Sato221.05