-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

The Gaussian rank correlation equals the usual correlation coefficient computed from the normal scores of the data … correlation matrix based on the Gaussian rank correlation is always positive semidefinite, and very easy to compute, also in high … the popular Kendall and Spearman correlation measures. In the empirical application, we show how it can be used for …

-diversification portfolios are highly sensitive to errors in the estimated variance and correlation, respectively …

correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result … that links the correlation between two standardized variables with the variances of linear combinations thereof. In a Monte … Carlo study, we show that the VICC yields accurate correlation estimates for common choices of the correlation dynamics. We …