Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise
نویسندگان
چکیده
For the estimation problem of the realized volatility, covariance and hedging coefficient by using high frequency data with possibly micro-market noises, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato (2008a,b). By analyzing the Nikkei 225 futures and spot index markets, we have found that the estimates of realized volatility, covariance and hedging coefficient have significant bias by the traditional method which should be corrected. Our method can handle the estimation bias and the tick-size effects of Nikkei 225 futures by removing the possible micro-market noise in multivariate high frequency data.
منابع مشابه
Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
For estimating the realized volatility and covariance by using high frequency data, we introduce the Separating Information Maximum Likelihood (SIML) method when there are possibly micromarket noises. The resulting estimator is simple and it has the representation as a specific quadratic form of returns. The SIML estimator has reasonable asymptotic properties; it is consistent and it has the as...
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