2 papers
math.ST2024
Volatility estimation from a view point of entropy
Jirô Akahori, Ryuya Namba, Atsuhito Watanabe
In the present paper, we first revisit the volatility estimation approach proposed by N. Kunitomo and S. Sato, and second, we show that the volatility estimator proposed by P. Mall…
math.ST2023
The SIML method without microstructure noise
Jirô Akahori, Ryuya Namba, Atsuhito Watanabe
The SIML (abbreviation of Separating Information Maximal Likelihood) method, has been introduced by N. Kunitomo and S. Sato and their collaborators to estimate the integrated volat…