A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
含噪声与异步数据的得分驱动条件相关模型：高频协方差动态应用
The analysis of the intraday dynamics of covariances among high-frequency returns is challenging due to asynchronous trading and market microstructure noise. Both effects lead to significant data reduction and may severely affect the estimation of the covariances if traditional methods for low-frequency data are employed. We propose to model intraday log-prices through a multivariate local-level model with score-driven covariance matrices and to treat asynchronicity as a…