ShanghaiTech SEM Working Paper No. 2018-005
Xin Jin, John M. Maheu, Qiao Yang
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: innite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data
Date Written: September 2017