Work

Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise

Year: 2013

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2013.02.006

Authors: Naoto Kunitomo, Seisho Sato

Institutions: The University of Tokyo, The Institute of Statistical Mathematics

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Japan Society for the Promotion of Science

Awards: Study of forecasting system for financial economic data, Theoretical Foundations and Applications of Economic and Official Statistics, The Infrastructure Development of Statistical Analysis for Evidence-based Policy Making, and Verifying Validity

OpenAlex ID: W2134351729

FWCI: 3.491

Cites: 29

Cited by: 23

Related to: 10