Purpose – Proposes a new covariance matrix robust estimator able to capture the correct orientation of the data and the large unconditional variance caused by occasional high volatility periods. Design/methodology/approach – Derives easy‐to‐compute estimates for the center and covariance...

Purpose – Proposes a new covariance matrix robust estimator able to capture the correct orientation of the data and the large unconditional variance caused by occasional high volatility periods. Design/methodology/approach – Derives easy-to-compute estimates for the center and covariance...