A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
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- Daisuke Nagakura & Toshiaki Watanabe, 2009. "A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component," IMES Discussion Paper Series 09-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
References listed on IDEAS
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
- MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
- Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Daisuke Nagakura & Toshiaki Watanabe, 2015.
"A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 13(1), pages 45-82.
- Daisuke Nagakura & Toshiaki Watanabe, 2010. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series gd09-115, Institute of Economic Research, Hitotsubashi University.
- Daisuke Nagakura & Toshiaki Watanabe, 2011. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series gd11-200, Institute of Economic Research, Hitotsubashi University.
More about this item
KeywordsRealized Variance; Integrated Variance; Microstructure Noise; State Space; Identification; Exchange Rate;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-25 (All new papers)
- NEP-ECM-2009-04-25 (Econometrics)
- NEP-ETS-2009-04-25 (Econometric Time Series)
- NEP-MST-2009-04-25 (Market Microstructure)
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