A multivariate positive definite estimator of the integrated covariance matrix of noisy and asynchronously observed asset returns is proposed. We adopt a Bayesian Dynamic Linear Model where microstructure noise is interpreted as measurement error, and asynchronous trading as missing observations...

"Preface. Latent Markov models represent an important class of latent variable models for the analysis of longitudinal data, when the response variables measure common characteristics of interest which are not directly observable. Typically, the response variables are categorical, even if...