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  5. Separating Information Maximum Likelihood Method for High-Frequency Financial Data

Separating Information Maximum Likelihood Method for High-Frequency Financial Data

af Seisho Sato, Naoto Kunitomo, Daisuke Kurisu

indgår i SpringerBriefs in Statistics serien

indgår i JSS Research Series in Statistics serien

Separating Information Maximum Likelihood Method for High-Frequency Financial Data af Seisho Sato
Bag om Separating Information Maximum Likelihood Method for High-Frequency Financial Data

This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics. Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9784431559283
  • Indbinding:
  • Paperback
  • Sideantal:
  • 114
  • Udgivet:
  • 8. august 2016
  • Udgave:
  • 12018
  • Vægt:
  • 203 g.
  • Ukendt - mangler pt..

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This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics. Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data.

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