Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations

Moming Wang and Ningning Xia

Statistics & Probability Letters, 2021, vol. 170, issue C

Abstract: In this paper, we study the estimation of integrated covariance matrix based on noisy high-frequency data with multiple transactions using random matrix theory. We further prove that the proposed estimator is also asymptotically optimal for portfolio selection.

Keywords: Integrated covariance matrix; High-dimensional; Multiple transactions; Nonlinear shrinkage; Random matrix theory (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2020.108996

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