Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency nancial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In particular, we consider rst the kernel weighted version of realized...

Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than the portfolio size, resulting in non-singular matrix measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market...

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...