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Extensions and Robust Estimation (1)

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

Abstract

We investigate the asymptotic properties of the SIML estimator and the micro-market price-adjustment mechanisms in the process of forming the observed transaction prices. We also investigate the problem of volatility estimation in the round-off error model, which is a nonlinear transformation model of hidden stochastic process.

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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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