不同步交易模型的参数估计

ESTIMATION OF PARAMETERS FOR NONSYNCHRONOUS TRADING MODEL IN FINANCE

对金融证券中高频数据的不同步交易模型 ,讨论了参数的矩估计 ,极大似然估计及估计的有关性质 .

For nonsynchronous trading model in finance, this paper obtains the moment estimates of the =parameters and the maximum likelihood estimates of the parameters respectively, and some properties about the estimates have been discussed.