This paper introduces a large-dimensional covariance estimator that exploits the hierarchical structure in financial returns. Prevailing techniques that filter the noise in a covariance matrix according to hierarchical agglomeration are fragile to data perturbations and inordinately suppress...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...