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Local SIML Estimation of Brownian Functionals

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

Abstract

We introduce the local SIML (LSIML) method for estimating some Brownian functionals including the asymptotic variance of the SIML estimator. It is an extension of the basic SIML method and we show the usefulness of the LSIML method through simulations.

References

  1. Ait-Sahalia, Y., and J. Jacod. 2014. High-frequency financial econometrics. Princeton University Press.Google Scholar
  2. Ait-Sahalia, Y., P. Mykland, and L. Zhang. 2005. How often to sample a continuous-time process in the presence of market microstructure noise. The Review of Financial Studies 18–2: 351–416.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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