The SIML Estimation of Volatility and Covariance with Micro-market Noise

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


We introduce the SIML method for estimating the integrated volatility and co-volatility (or covariance) parameters from a set of discrete observations. We first define the SIML estimator in the basic case and then give the asymptotic properties of the SIML estimator in more general cases.


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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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