Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 2993-3005
A jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns is proposed. It disentangles covariance estimation into variance and correlation components. This allows us to account for non-synchronous trading by estimating...