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 |
-
Missing in Asynchronicity : A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Corsi, Fulvio, (2013)
-
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
Audrino, Francesco, (2011)
-
Volatility forecasting: Downside risk, jumps and leverage effect
Audrino, Francesco, (2016)
- More ...
-
Realized Correlation Tick-by-Tick
Corsi, Fulvio, (2007)
-
Audrino, Francesco, (2010)
-
Modeling Tick-by-Tick Realized Correlations
Corsi, Fulvio, (2008)
- More ...