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Separating information maximum likel...

Kunitomo, Naoto,

Separating information maximum likelihood method for high-frequency financial data /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Separating information maximum likelihood method for high-frequency financial data /Naoto Kunitomo, Seisho Sato, Daisuke Kurisu.
作者:	Kunitomo, Naoto,
其他作者:	Sato, Seisho,
出版者:	Tokyo :Springer,c2018.
面頁冊數:	viii, 114 p. :ill. ;24 cm.
標題:	Commercial statistics.
ISBN:	9784431559283 (pbk.) :

Separating information maximum likelihood method for high-frequency financial data /
Kunitomo, Naoto,

Separating information maximum likelihood method for high-frequency financial data /Naoto Kunitomo, Seisho Sato, Daisuke Kurisu. - Tokyo :Springer,c2018. - viii, 114 p. :ill. ;24 cm. - SpringerBriefs in Statistics,2191-544X. - SpringerBriefs in statistics..

Includes bibliographical references and index.

Continuous-time models and discrete observations for financial data -- The SIML estimation of volatility and covariance with micro-market noise -- An application to Nikkei-225 futures and some simulation -- Mathematical derivations -- Extensions and robust estimations (1) -- Extensions and robust estimations (2) -- Local SIML estimation of Brownian functionals -- Estimating quadratic variation under jumops and micro-market noise.

ISBN: 9784431559283 (pbk.) :EUR$54.99

Standard No.: 10.1007/978-4-431-55930-6doi

Patent No.: cam a2200253 a 450 Subjects--Topical Terms:

182274
Commercial statistics.

LC Class. No.: HF1017 / K96 2018

Separating information maximum likelihood method for high-frequency financial data /
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245 1 0 $a Separating information maximum likelihood method for high-frequency financial data / $c Naoto Kunitomo, Seisho Sato, Daisuke Kurisu.
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300 $a viii, 114 p. : $b ill. ; $c 24 cm.
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505 0 $a Continuous-time models and discrete observations for financial data -- The SIML estimation of volatility and covariance with micro-market noise -- An application to Nikkei-225 futures and some simulation -- Mathematical derivations -- Extensions and robust estimations (1) -- Extensions and robust estimations (2) -- Local SIML estimation of Brownian functionals -- Estimating quadratic variation under jumops and micro-market noise.
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650 0 $a Stochastic processes. $3 181874
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700 1 $a Kurisu, Daisuke, $e author. $3 829177
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830 0 $a SpringerBriefs in statistics. $3 557771