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

[Robert A'gata]

Thank you Hasan. I looked into the c code of Yuima. It is an off-line
version, i.e. it passes in entire arrays of returns on both assets for
which you want to compute covariance. Rather, I'm looking for an idea to
implement the estimator in an on-line fashion.

On Tue, Mar 17, 2015 at 12:04 AM, Hasan Diwan <hasan.diwan at gmail.com> wrote:

> 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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