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Extensions and Robust Estimation (2)

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

Abstract

We further consider the asymptotic robustness of the SIML estimator under the micro-market price adjustment mechanisms in two-dimensional processes. In particular, we investigate the estimation problem of integrated volatility, covariance and the resulting hedging coefficient in the round-off error models, which is a nonlinear transformation of hidden process, and the price adjustment models. We also investigate the effects of random sampling observations.

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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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