ShanghaiTech SEM Working Paper No. 2018-005
Shanghai University of Finance and Economics - School of Economics
John M. Maheu
McMaster University - DeGroote School of Business
ShanghaiTech University - School of Entrepreneurship and Management
This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood based estimation. Parametric and nonparametric versions are introduced. ...
Keywords: in nite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data
Date Written: September 2017