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An Application to Nikkei-225 Futures and Some Simulation

Chapter
Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)

Abstract

We present an application of the SIML estimation. We used the high-frequency financial data of the Nikkei-225 Futures, which are the major financial products that are traded actively in Japan. We also give the simulation results of SIML estimation in the basic case and consider the hedging problem, which was the original motivation of developing the SIML method.

References

  1. Duffie, D. 1989. Futures Markets. Estados Unidos: Prentice Hall.Google Scholar
  2. Misaki, H. 2018. An empirical analysis of volatility by the SIML estimation with high-frequency trades and quotes, Unpublished Manuscript.Google Scholar

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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