A state space model approach to integrated covariance matrix estimation with high frequency data

DOI10.4310/SII.2013.V6.N4.A5zbMath1326.62122OpenAlexW2324042807MaRDI QIDQ896584

Cheng Yong Tang, Cheng Liu

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2013.v6.n4.a5

zbMATH Keywords

EM algorithmKalman filterquasi-maximum likelihoodmissing datastate space modelhigh frequency datamicrostructure noiseintegrated covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data

This page was built for publication: A state space model approach to integrated covariance matrix estimation with high frequency data