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The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling

Author

Listed:
  • Naoto Kunitomo

    (Faculty of Economics, The University of Tokyo)

  • Hiroumi Misaki

    (Research Center for Advanced Science and Technology, The University of Tokyo)

  • Seisho Sato

    (Faculty of Economics, The University of Tokyo)

Abstract

For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and asymptotic properties when the sample size is large when the hidden efficient price process follow a Brownian semi-martingale. We shall show that the SIML estimation is useful for estimating the integrated covariance and hedging coefficient when we have round-off errors, micro-market price adjustments, noises and high-frequency data are randomly sampled. The SIML estimation is consistent, asymptotically normal in the stable convergence sense under a set of reasonable assumptions and it has reasonable nite sample properties with these effects. --

Suggested Citation

  • Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling," CIRJE F-Series CIRJE-F-965, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2015cf965
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    References listed on IDEAS

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    1. repec:hal:journl:peer-00815564 is not listed on IDEAS
    2. Kunitomo, Naoto & Sato, Seisho, 2013. "Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 282-309.
    3. Kunitomo, Naoto & Sato, Seisho, 2011. "The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1272-1289.
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    6. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
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    Cited by:

    1. Seisho Sato & Naoto Kunitomo, 2015. "A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises," CIRJE F-Series CIRJE-F-964, CIRJE, Faculty of Economics, University of Tokyo.

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