Bibinger, Markus; Reiss, Markus; Hautsch, Nikolaus; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset … average of block-wise parametric spectral covariance estimates. The latter originate from a local method of moments (LMM … normality of the proposed spot covariance estimator. Based on extensive simulations we provide empirical guidance on the optimal …