2011 Fiscal Year Final Research Report
Econometric Analysis on Market Micro-structure Noise
| Project/Area Number |
21730174
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Shiga University |
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Principal Investigator |
KANATANI Taro 滋賀大学, 経済学部, 准教授 (50378957)
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| Project Period (FY) |
2009 – 2011
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| 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 |
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| 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.
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