We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...

Risk budgets are frequently used to estimate and allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation use ex post methods for constructing risk budgets and take the variance as a...

The Minimum Covariance Determinant (MCD) approach estimates the location and scatter matrix using the subset of given size with lowest sample covariance determinant. Its main drawback is that it cannot be applied when the dimension exceeds the subset size. We propose the Minimum Regularized...

In this supplementary appendix, we first provide a brief R and Python tutorial for the proposed BAC estimator. Then, we describe the implementation of the BAC estimator in case of microstructure noise and jumps. We further present more detailed empirical results for the BAC estimation applied to...

The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...