the presence of microstructure noises and asynchronous trading, the covariance estimator is guaranteed to be positive …This paper proposes a novel covariance estimator via a machine learning approach when both the sampling frequency and … covariance dimension are large. Assuming that a large covariance matrix can be decomposed into low rank and sparse components …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector … realized covariance matrices almost as precisely as if we had known the true driving dynamics of these in advance. We next … investigate the sources of these driving dynamics for the realized covariance matrices of the 30 Dow Jones stocks and find that …