Realized volatility computed from high-frequency data is an important measure for many applications in finance. However, its dynamics are not well understood to date. Recent notable advances that perform well include the heterogeneous autoregressive (HAR) model which is economically...

Motivated by the need of an unbiased and positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states...