Extensions and Robust Estimation (2)
We further consider the asymptotic robustness of the SIML estimator under the micro-market price adjustment mechanisms in two-dimensional processes. In particular, we investigate the estimation problem of integrated volatility, covariance and the resulting hedging coefficient in the round-off error models, which is a nonlinear transformation of hidden process, and the price adjustment models. We also investigate the effects of random sampling observations.
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