We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

SFB 649 Discussion Paper 2006-069 Constrained General Regression in Pseudo- Sobolev Spaces with Application to Option Pricing Zdeněk Hlávka* Michal Pešta* * Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles...