Australian All Ordinaries Stock Index has been in the headline since 1997 for its tear jerking effect on the stock exchange. Present work attempts to develop a realistic time-series model to explain the behavior of the stock price data during 2 January 1997 to 29 December 2006 collected from...

High frequency data typically exhibit asynchronous trading and microstructure noise, which can bias the covariances estimated by standard estimators. While a number of specialised estimators have been developed, they have had limited availability in open source software. HighFrequencyCovariance...