Modelling and forecasting the covariance of financial return series has always been a challenge due to the so-called "curse of dimensionality". This paper proposes a methodology that is applicable in large dimensional cases and is based on a time series of realized covariance matrices. Some...

The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...