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Separating Information Maximum Likelihood Method for High-Frequency Financial Data

By Naoto Kunitomo, Seisho Sato, Daisuke Kurisu
eBook
$59.99
By Naoto Kunitomo, Seisho Sato, Daisuke Kurisu
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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 vola...

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Science & TechnologyMathematicsProbability TheoryStatistics