0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

The SIML Estimation for High-Frequency Financial Data with Micro-Market Noise 2016 (Paperback, 1st Ed. 2016) Loot Price: R942 Discovery Miles 9 420

This item is a special order that could take a long time to obtain.

The SIML Estimation for High-Frequency Financial Data with Micro-Market Noise 2016 (Paperback, 1st Ed. 2016): Seisho Sato,...
The SIML Estimation for High-Frequency Financial Data with Micro-Market Noise 2016 (Paperback, 1st Ed. 2016): Seisho Sato,...

Share your images

The SIML Estimation for High-Frequency Financial Data with Micro-Market Noise 2016 (Paperback, 1st Ed. 2016)

Seisho Sato, Naoto Kunitomo

Series: SpringerBriefs in Statistics

 (sign in to rate)
Loot Price R942 Discovery Miles 9 420

Bookmark and Share

Our supplier does not have stock of this product at present, but we can create a special order for you. Alternatively, if you add it to your wishlist we will send you an email message should it become available from stock. Special orders from this supplier are normally fulfilled within 31 - 41 working days. Please note:

  • Special order items cannot be combined on an order with other items.
  • Special orders can sometimes take significantly longer than this estimate and sometimes our suppliers may be unable to fill a special order.
  • We cannot accept returns of special order titles.
  • If we haven't been able to get the product for you within about 3 months, we will automatically cancel the order and fully refund any payments that you have made.

New to special orders? Find out more.

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 volatility, covariance, and the related statistics by using high-frequency financial data, the SIML method has been developed by Kunitomo and Sato to deal with possible micro-market noises. The authors show that the SIML estimator has reasonable finite sample properties as well as asymptotic properties in the standard cases. It is also shown that the SIML estimator has robust properties in the sense that it is consistent and asymptotically normal in the stable convergence sense when there are micro-market noises, micro-market (non-linear) adjustments, and round-off errors with the underlying (continuous time) stochastic process. Simulation results are reported in a systematic way as are some applications of the SIML method to the Nikkei-225 index, derived from the major stock index in Japan and the Japanese financial sector.

General

Imprint: Springer Verlag,Japan
Country of origin: Japan
Series: SpringerBriefs in Statistics
Release date: August 2016
Authors: Seisho Sato • Naoto Kunitomo
Dimensions: 235 x 155mm (L x W)
Format: Paperback
Edition: 1st Ed. 2016
ISBN-13: 978-4-431-55928-3
Barcode: 9784431559283
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Promotions
Books > Computing & IT > Computer software packages > Other software packages > Mathematical & statistical software
Books > Business & Economics > Economics > Econometrics
Books > Business & Economics > Economics > Econometrics > General
LSN: 4-431-55928-0

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

Loyalty partners