Detecting factors of quadratic variation in the presence of …
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- DOI 10.1007/s42081-020-00104-w
- OpenAlex ID W3127274554
- Type Article
- Language EN
- Published 04 Feb 2021
- Volume 4 (1)
- Pages 601–641
- Source Japanese Journal of Statistics and Data …
- Publisher Springer Science+Business Media
- FWCI 1.24
- Countries 1
- Institutions 2
- Added 15 Feb 2021
- Updated 16 Oct 2026
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Detecting factors of quadratic variation in the presence of market microstructure noise
Article 2021 EN Hybrid
Abstract A method of detecting latent factors of quadratic variation (QV) of Itô semimartingales from a set of discrete observations is developed when the market microstructure noise is present. We propose a new way to determine the number of latent factors of quadratic co-variations of asset prices based on the SIML (separating information maximum likelihood) method by Kunitomo et al. (Separating…
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2 authors| # | Author | Institutions | ORCID |
|---|---|---|---|
| 1 | Naoto Kunitomo Corresponding | Meiji University (JP) | |
| 2 | Daisuke Kurisu | Tokyo Institute of Technology (JP) |
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