Perfeziona i miei risultati

Synchronizing multivariate financial time series

Audrino, Francesco ; Bühlmann, Peter

Prices or returns of financial assets are most often collected in local times of the trading markets. The need to synchronize multivariate time series of financial prices or returns is motivated by the fact that information continues to flow for closed markets while others are still open. We propose here a synchronization technique which takes this into account. Besides the nice interpretation...