Separating Information Maximum Likelihood Method for High...
Kunitomo, Naoto / Sato, Seisho / Kurisu, Daisuke This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics.
Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data. Although several new statistical estimation procedures have been proposed, each method has some desirable properties along with some shortcomings that cal...