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Introduction

  • Naoto Kunitomo
  • Seisho Sato
  • Daisuke Kurisu
Chapter
Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)

Abstract

We introduce recent issues and research around volatility estimation based on high-frequency financial data. Previous studies often ignored the presence of micro-market noises, thereby obtaining misleading estimation results. In this book, we propose the separating information maximum likelihood (SIML) method.

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.School of Political Science and EconomicsMeiji UniversityTokyoJapan
  2. 2.Graduate School of EconomicsThe University of TokyoBunkyo-kuJapan
  3. 3.School of EngeneeringTokyo Institute of TechnologyTokyoJapan

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