The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise.
Naoto KunitomoSeisho SatoPublished in: Math. Comput. Simul. (2011)
Keyphrases
- financial markets
- stock price
- stock market
- stock returns
- black scholes
- portfolio selection
- exchange rate
- early warning
- estimation error
- stock index futures
- chinese stock market
- option pricing
- image noise
- estimation algorithm
- trading systems
- noise level
- stock exchange
- trading strategies
- parameter estimation
- robust estimation
- random noise
- financial data
- noise reduction
- noisy data
- signal subspace
- futures market
- risk management
- short term