Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Year of publication: |
2012-01
|
---|---|
Authors: | Corsi, Fulvio ; Peluso, Stefano ; Audrino, Francesco |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | High frequency data | Realized covariance matrix | Market microstructure noise | Missing data | Kalman filter | EM algorithm | Maximum likelihood |
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