ShanghaiTech SEM Working Paper No. 2018-005
Xin Jin, John M. Maheu, Qiao Yang
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. ...
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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
