A state space model approach to integrated covariance matrix estimation with high frequency data
We consider a state space model approach forhigh frequency financial data analysis. An expectationmaximization(EM) algorithm is developed for estimatingthe integrated covariance matrix of the assets. The statespace model with the EM algorithm can handle noisy financialdata with correlated microstruc...
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Main Authors: | , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5603 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6602/viewcontent/A_state_space_model_approach_to_integrated_covariance_matrix_estimation_with_high_frequency_data.pdf |
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Institution: | Singapore Management University |
Language: | English |