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This paper studies the estimation problem of the covariance matrices of asset returns in the presence of microstructure noise and asynchronicity between the observations across different assets. Motivated by Malliavin and Mancino (2002, 2009) we propose a new Fourier domain based estimator of multivariate ex-post volatility, which we call the Fourier Realized Kernel (FRK). An advantage of this approach...
Grid computing (or the use of a computational grid) is applying the resources of many computers in a network to a single problem at the same time - usually to a scientific or technical problem that requires a great number of computer processing cycles or access to large amounts of data. In this paper, the focusing is to establish grid infrastructure, which can support high efficient R&D project...
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