CIRJE-F-965	"The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling"
Author Name	Kunitomo, Naoto, Hiroumi Misaki and Seisho Sato
Date	March 2015
Full Paper	PDF file
Remarks	Revised version of CIRJE-F-893 (2013); forthcoming in Asia-Pacific Financial Markets, Springer.

Abstract

For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and asymptotic properties when the sample size is large when the hidden efficient price process follow a Brownian semi-martingale. We shall show that the SIML estimation is useful for estimating the integrated covariance and hedging coefficient when we have round-off errors, micro-market price adjustments, noises and high-frequency data are randomly sampled. The SIML estimation is consistent, asymptotically normal in the stable convergence sense under a set of reasonable assumptions and it has reasonable nite sample properties with these effects.