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

[Hasan Diwan]

There is a yuima package that claims to have the Hayashi-Yoshida covariance
estimator since 2009. The link is
http://r-forge.r-project.org/projects/yuima/ and I hope it helps. -- H

On 16 March 2015 at 20:19, Robert A'gata <rhelpacc at gmail.com> wrote:

> 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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>
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