Before revision:  Our approach tackles all these challenging tasks within a new Gaussian state-space model with score-driven time-varying parameters that can be estimated using standard maximum likelihood methods.
After revision:  Our approach tackles all these challenging tasks within a new Gaussian state-space model with score-driven covariance matrices and to treat asynchronicity as a missing value problem. The main advantages of this approach are: (i) all available data are used when filtering correlations, (ii) market microstructure noise is taken into account, (iii) estimation is performed through standard maximum likelihood methods.