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 correlations over lower sampling frequencies, to...

Composite indicators are widely used to determine the ranking of countries, organizations or individuals in terms of overall performance on multiple criteria. Their calculation requires standardization of the individual statistical criteria and aggregation of the standardized indicators. These...