{"id":"https://openalex.org/W2134351729","doi":"https://doi.org/10.1016/j.najef.2013.02.006","title":"Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise","display_name":"Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise","publication_year":2013,"publication_date":"2013-03-05","ids":{"openalex":"https://openalex.org/W2134351729","doi":"https://doi.org/10.1016/j.najef.2013.02.006","mag":"2134351729"},"language":"en","primary_location":{"id":"doi:10.1016/j.najef.2013.02.006","doi":"https://doi.org/10.1016/j.najef.2013.02.006","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.najef.2013.02.006","pdf_url":null,"source":{"id":"https://openalex.org/S155526628","display_name":"The North American Journal of Economics and Finance","issn_l":"1062-9408","issn":["1062-9408","1879-0860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The North American Journal of Economics and Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5073333434","display_name":"Naoto Kunitomo","orcid":"https://orcid.org/0000-0001-8493-7914","observed_orcids":["https://orcid.org/0000-0001-8493-7914"]},"institutions":[{"id":"https://openalex.org/I74801974","display_name":"The University of Tokyo","ror":"https://ror.org/057zh3y96","country_code":"JP","type":"education","lineage":["https://openalex.org/I74801974"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Naoto Kunitomo","raw_affiliation_strings":["Graduate School of Economics, University of Tokyo, Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Economics, University of Tokyo, Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033, Japan","institution_ids":["https://openalex.org/I74801974"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103098490","display_name":"Seisho Sato","orcid":"https://orcid.org/0000-0002-1328-2452","observed_orcids":["https://orcid.org/0000-0002-1328-2452"]},"institutions":[{"id":"https://openalex.org/I4210134673","display_name":"The Institute of Statistical Mathematics","ror":"https://ror.org/03jcejr58","country_code":"JP","type":"facility","lineage":["https://openalex.org/I1319490839","https://openalex.org/I4210134673","https://openalex.org/I4210158934"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Seisho Sato","raw_affiliation_strings":["Institute of Statistical Mathematics, Midori-cho 10-3, Tachikawa-shi, Tokyo 190-8562, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Statistical Mathematics, Midori-cho 10-3, Tachikawa-shi, Tokyo 190-8562, Japan","institution_ids":["https://openalex.org/I4210134673"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5073333434"],"corresponding_institution_ids":["https://openalex.org/I74801974"],"apc_list":{"value":3050,"currency":"USD","value_usd":3050},"apc_paid":null,"fwci":3.4911,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.93179111,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"26","issue":null,"first_page":"282","last_page":"309"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5278000235557556,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5278000235557556,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.46630001068115234,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0017000000225380063,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/integrated-volatility","display_name":"integrated volatility","score":0.7940000295639038},{"id":"https://openalex.org/keywords/high-frequency-financial-data","display_name":"high-frequency financial data","score":0.8999999761581421},{"id":"https://openalex.org/keywords/asymptotic-normality","display_name":"asymptotic normality","score":0.8209999799728394},{"id":"https://openalex.org/keywords/consistency","display_name":"consistency","score":0.9150000214576721},{"id":"https://openalex.org/keywords/nikkei-225-futures","display_name":"Nikkei 225 futures","score":0.949999988079071},{"id":"https://openalex.org/keywords/stock-index-futures","display_name":"stock index futures","score":0.4350000023841858}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7466671466827393},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.64471435546875},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6292599439620972},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.5636017322540283},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5084904432296753},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.4496864378452301},{"id":"https://openalex.org/C90087638","wikidata":"https://www.wikidata.org/wiki/Q7268374","display_name":"Quadratic variation","level":3,"score":0.4494551718235016},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.4459015727043152},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.41308820247650146},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.35472774505615234},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.30274689197540283},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12170705199241638},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.10926982760429382},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.najef.2013.02.006","doi":"https://doi.org/10.1016/j.najef.2013.02.006","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.najef.2013.02.006","pdf_url":null,"source":{"id":"https://openalex.org/S155526628","display_name":"The North American Journal of Economics and Finance","issn_l":"1062-9408","issn":["1062-9408","1879-0860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The North American Journal of Economics and Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:ecofin:v:26:y:2013:i:c:p:282-309","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1062940813000211","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G2077445906","display_name":"Study of forecasting system for financial economic data","funder_award_id":"23500364","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"},{"id":"https://openalex.org/G611146748","display_name":"Theoretical Foundations and Applications of Economic and Official Statistics","funder_award_id":"23243039","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"},{"id":"https://openalex.org/G6339163188","display_name":"The Infrastructure Development of Statistical Analysis for Evidence-based Policy Making, and Verifying Validity","funder_award_id":"22240030","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1539351109","https://openalex.org/W1584988209","https://openalex.org/W1964586764","https://openalex.org/W1969269132","https://openalex.org/W1969804920","https://openalex.org/W1991102458","https://openalex.org/W2017032949","https://openalex.org/W2017238899","https://openalex.org/W2081877251","https://openalex.org/W2094859553","https://openalex.org/W2097254026","https://openalex.org/W2113883339","https://openalex.org/W2122002158","https://openalex.org/W2128569377","https://openalex.org/W2138030803","https://openalex.org/W2143082178","https://openalex.org/W2157296221","https://openalex.org/W2182960470","https://openalex.org/W2476250187","https://openalex.org/W3015241628","https://openalex.org/W3015894552","https://openalex.org/W3095114851","https://openalex.org/W3121301601","https://openalex.org/W3121681015","https://openalex.org/W3122281927","https://openalex.org/W3124202622","https://openalex.org/W3125412410","https://openalex.org/W4293092461","https://openalex.org/W4297748063"],"related_works":["https://openalex.org/W1519133855","https://openalex.org/W7098708332","https://openalex.org/W3121301601","https://openalex.org/W2146120820","https://openalex.org/W1584988209","https://openalex.org/W3124666875","https://openalex.org/W1114786332","https://openalex.org/W3124850619","https://openalex.org/W4387356348","https://openalex.org/W2808466363"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
