Robust estimation of a high-dimensional integrated covariance matrix
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Cites work
- A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometrics of financial high-frequency data
- On covariance estimation of non-synchronously observed diffusion processes
- On the distribution of the largest eigenvalue in principal components analysis
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
Cited in
(13)- High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Design-free estimation of integrated covariance matrices for high-frequency data
- High-dimensional multivariate realized volatility estimation
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Parallel computation of high-dimensional robust correlation and covariance matrices
- Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations
- Improved robust performance bounds in covariance majorant analysis
- On the estimation of integrated covariance matrices of high dimensional diffusion processes
- Asymptotic Properties of Robust Complex Covariance Matrix Estimates
- Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context
- scientific article; zbMATH DE number 7376767 (Why is no real title available?)
- High-dimensional realized covariance estimation: a parametric approach
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