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.
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References
Duffie, D. 1989. Futures Markets. Estados Unidos: Prentice Hall.
Misaki, H. 2018. An empirical analysis of volatility by the SIML estimation with high-frequency trades and quotes, Unpublished Manuscript.
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Kunitomo, N., Sato, S., Kurisu, D. (2018). An Application to Nikkei-225 Futures and Some Simulation. In: Separating Information Maximum Likelihood Method for High-Frequency Financial Data. SpringerBriefs in Statistics(). Springer, Tokyo. https://doi.org/10.1007/978-4-431-55930-6_4
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DOI: https://doi.org/10.1007/978-4-431-55930-6_4
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Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-55928-3
Online ISBN: 978-4-431-55930-6
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