The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling
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- Misaki, Hiroumi & Kunitomo, Naoto, 2015. "On robust properties of the SIML estimation of volatility under micro-market noise and random sampling," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 265-281.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2013-07-15 (Econometrics)
- NEP-MST-2013-07-15 (Market Microstructure)
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