Three main issues are explored in this thesis—volatility measurement, volatility spillover and large-dimension covariance matrices. For the first question of volatility measurement, this thesis compares two newly-proposed, high-frequency volatility measurement models, namely realized...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....