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...

The estimation of the covariances of high-frequency asset prices is problematic because of asynchronous trading and market microstructure noise. In the last years, both parametric and non-parametric methods have been proposed in order to handle these effects. Little attention has instead been...