ShanghaiTech SEM Working Paper No. 2018-005
Xin Jin
Shanghai University of Finance and Economics - School of Economics
John M. Maheu
McMaster University - DeGroote School of Business
Qiao Yang
ShanghaiTech University - School of Entrepreneurship and Management
Abstract
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. ...
[View Full Text and Download PDF Version]
Keywords: in nite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data
JEL Classification: G17, C11, C14, C32, C58
Date Written: September 2017
Available at SSRN: http://ssrn.com/abstract=3159716
