Econometric Analysis on Market Micro-structure Noise
Project/Area Number |
21730174
|
Research Category |
Grant-in-Aid for Young Scientists (B)
|
Allocation Type | Single-year Grants |
Research Field |
Economic statistics
|
Research Institution | Shiga University |
Principal Investigator |
KANATANI Taro 滋賀大学, 経済学部, 准教授 (50378957)
|
Project Period (FY) |
2009 – 2011
|
Project Status |
Completed (Fiscal Year 2011)
|
Budget Amount *help |
¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
|
Keywords | 金融高頻度データ / マーケットマイクロストラクチャーノイズ / 共分散推定 / 非同期観測 / 計量ファイナンス / 高頻度データ / 経済統計学 |
Research Abstract |
We study econometric methods for financial high-frequency data which are contaminated by market micro structure noises. When estimating covariance between two different assets, we should give consideration to non-synchronous bias as well as the contamination by noises. We examine covariance estimators to handle both the bias and noise and propose a more efficient method than existing ones.
|
Report
(4 results)
Research Products
(14 results)