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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Kunitomo, N., Sato, S., Kurisu, D. (2018). Extensions and Robust Estimation (1). 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_6
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DOI: https://doi.org/10.1007/978-4-431-55930-6_6
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