Motivated by the need for 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...

Latent variable models represent a useful tool in different fields of research in which the constructs of interest are not directly observable. In such models, problems related to the integration of the likelihood function can arise since analytical solutions do not exist. Numerical...

We investigate the possibility of approximating the variance gamma distribution with a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm.