Jia Liu is an Assistant Professor of Finance in the Sobey School of Business at Saint Mary’s University. Jia’s research interests include financial econometrics, Bayesian time series and empirical finance. He received his PhD in finance from McMaster University in 2017. He has published his work in the Journal of Applied Econometrics and Journal of Financial Econometrics.
This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data.