[R-SIG-Finance] Online Hayashi-Yoshida estimator

[Robert A'gata]

Hi,

Does anyone know of an on-line implementation of Hayashi Yoshida covariance
estimator? Let's say that we have to time series ticked asynchronously and
we would like to update the realized covariance once either ticks so that
we do not have to keep in memory all the tick history. Any idea please?
Thank you.

Best,

Robert

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