Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020
Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is … relation is not guaranteed. Under these common conditions, realized covariance matrices may obtain as singular by construction … dynamics of time series of singular realized covariance matrices, extending the rich literature on econometric Wishart time …