Online Hayashi-Yoshida estimator
Do you have a reference for the on-line version? It generally helps others to help you if they can look at the paper(s) which describe the technique you wish to replicate. Regards, Brian
On 03/16/2015 11:39 PM, Robert A'gata wrote:
Thank you Hasan. I looked into the c code of Yuima. It is an off-line version, i.e. it passes in entire arrays of returns on both assets for which you want to compute covariance. Rather, I'm looking for an idea to implement the estimator in an on-line fashion. On Tue, Mar 17, 2015 at 12:04 AM, Hasan Diwan <hasan.diwan at gmail.com> wrote:
There is a yuima package that claims to have the Hayashi-Yoshida covariance estimator since 2009. The link is http://r-forge.r-project.org/projects/yuima/ and I hope it helps. -- H On 16 March 2015 at 20:19, Robert A'gata <rhelpacc at gmail.com> wrote:
Hi, Does anyone know of an on-line implementation of Hayashi Yoshida
covariance
estimator? Let's say that we have to time series ticked asynchronously
and
we would like to update the realized covariance once either ticks so that we do not have to keep in memory all the tick history. Any idea please? Thank you. Best, Robert