Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10003903350
Persistent link: https://www.econbiz.de/10003419771
Persistent link: https://www.econbiz.de/10003676667
Persistent link: https://www.econbiz.de/10011339256
Persistent link: https://www.econbiz.de/10011327583
Persistent link: https://www.econbiz.de/10009719912
Persistent link: https://www.econbiz.de/10009671897
Persistent link: https://www.econbiz.de/10012313375
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...
Persistent link: https://www.econbiz.de/10014173246