We consider the well-studied problem of predicting the timevarying covariance matrix of a
vector of financial returns. Popular methods range from simple predictors like rolling window …

Time series of realized covariance matrices can be modeled in the conditional
autoregressive Wishart model family via dynamic correlations or via dynamic covariances …

Realized covariance matrices are often constructed under the assumption that richness of
intra-day return data is greater than the portfolio size, resulting in nonsingular matrix …

For the majority of financial markets, the pervasive intraday periodicity (IP), which often takes
a U-or mirrored J-form during the daily trading time, is a well documented empirical feature …