A state space approach to estimating the integrated variance and microstructure noise component

Author(s)

• Nagakura, Daisuke
• 渡部, 敏明 ワタナベ, トシアキ
• 日本銀行金融研究所 ニホン ギンコウ キンユウ ケンキュウジョ

Bibliographic Information

A state space approach to estimating the integrated variance and microstructure noise component

Daisuke Nagakura and Toshiaki Watanabe

（IMES discussion paper series, no. 2009-E-11）

Institute for Monetary and Economic Studies, Bank of Japan, 2009

Other Title

IMES

Note

Cover title

Bibliography: p. 26-27

• NCID: BB05265706
• Country Code: ja
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Tokyo
• Pages/Volumes: 38 p.
• Size: 30 cm
• Classification:
  • LCC : HG4515.2
  • DC : 332
• Subject Headings:
  • LCSH : Rate of return -- Mathematical models
  • LCSH : Analysis of variance
• Parent Bibliography ID:
  • BN15051361