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

[Brian G. Peterson]

Do you have a reference for the on-line version?  It generally helps 
others to help you if they can look at the paper(s) which describe the 
technique you wish to replicate.

Regards,

Brian

On 03/16/2015 11:39 PM, Robert A'gata wrote:
> 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