Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
已实现协方差矩阵的奇异条件自回归 Wishart 模型
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 measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market microstructure noise deters sampling on very high frequencies, this relation is not guaranteed. Under these common conditions, realized covariance matrices may obtain as singular by…