Online Hayashi-Yoshida estimator
Hi Brian - To the best of my knowledge, I don't know any literature that describes an on-line estimation method for the HY covariance estimator. I am raising this question on this forum to brainstorm and get some ideas. Intuitively since the estimator is only caring about overlapping returns between the two asynchronous tick streams, doing this online might not seem to be a daunting task. I attempted a couple of times by trying to keep tracking of last overlapping period and discard all the ticks that are completely "overlapped or enveloped" in the past. But for some reason, it didn't go so well. So I would like to pick some ideas if anybody has any. Thank you. Robert On Tue, Mar 17, 2015 at 4:29 AM, Brian G. Peterson <brian at braverock.com> wrote:
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
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