This paper proposes new dynamic component models of realized covariance (RCOV) matrices based on recent work in time-varying Wishart distributions. The specifications are linked to returns for a joint multivariate model of returns and covariance dynamics that is both easy to estimate and...

This work concerns the problem of rank estimation in semidefinite matrices, having either indefinite or semidefinite matrix estimator satisfying a typical asymptotic normality condition. Several rank tests are examined, based on either available rank tests or basic new results. A number of...

This paper proposes a new dynamic model of realized covariance (RCOV) matrices based on recent work in time-varying Wishart distributions. The specifications can be linked to returns for a joint multivariate model of returns and covariance dynamics that is both easy to estimate and forecast....

In this paper, we investigate the spectral properties of the large block Laplacian random matrices when the blocks are general rectangular matrices. Under some moment assumptions of the underlying distributions, we study the convergence of the empirical spectral distribution (ESD) of the large...

We prove the existence of the integrated density of states for subordinate Brownian motions in the presence of the Poissonian random potentials on the Sierpiński gasket.