We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization … ; microstructure ; asynchronous trading …

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization … ; Microstructure ; Asynchronous Trading …

We introduce a blocking and regularization approach to estimate high-dimensional covariances using high frequency data … the resulting blocking and regularization ("RnB") estimator is analyzed in an extensive simulation study mimicking the … liquidity and market microstructure features of the S&P 1500 universe. The RnB estimator yields efficiency gains for varying …

of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …

bias due to this mixed-type microstructure effect. Simulation and empirical studies on the tick-by-tick trade price data …

microstructure noise …