Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation

Fulvio Corsi, Stefano Peluso and Francesco Audrino

Journal of Applied Econometrics, 2015, vol. 30, issue 3, 377-397

Date: 2015
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Working Paper: Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation (2012)
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