We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high …-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …

In this paper, we consider a robust method of estimating a realized covariance matrix calculated as the sum of cross … products of intraday high-frequency returns. According to recent papers in financial econometrics, the realized covariance … have been studied since the early 2000s, they have primarily investigated a low-dimensional covariance matrix with …

This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can … Random Matrix Theory and robust covariance matrix estimation. The proposed procedure will be explained through synthetic data …

are based on forecasts covariance matrix little is known about effects of outliers on the uncertainty associated with …

invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying … assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading …