Before revision: We propose a new multivariate conditional correlation model able to deal with data featuring both observational noise and asynchronicity. When modelling high-frequency multivariate financial time-series, the presence of both problems and the requirement for positive-definite estimates makes the estimation and forecast of the intraday dynamics of conditional covariance matrices particularly difficult.
After revision: The analysis of the intraday dynamics of correlations among high-frequency multivariate financial time-series, the presence of both problems and the requirement for positive-definite estimates makes the estimation and forecast of the intraday dynamics of conditional covariance matrices particularly difficult.