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Here is an abstract from an interesting article by Siddhartha Chiba, Lingxiao Zhao, Guofu Zhou published in June 2021.
http://apps.olin.wustl.edu/faculty/chib/findingnew.pdf
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Louis Szeto
Hi Vladimir
Thanks for sharing with us this paper! This is an interesting idea on splitting into 2 parts by timestamp, computationally easier in discrete concepts. We are looking forward to how that would be transformed into codes for actual use!
And for those who are interested in the time decay effect of older historical data for risk estimation. Please also check out the concepts of Exponential Covariance & Squared Exponential Covariance. They're continuous scale decay on the importance/weighting of older data in logarithm scale. The latter one is more preferred in most cases as it is a stationary covariance function with smooth sample paths.
Best,
Louis Szeto
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