Spectral analysis of high-dimensional spot volatility matrix with applications
高维瞬时波动率矩阵的谱分析及应用
In random matrix theory, the spectral distribution of the covariance matrix has been well studied under the large dimensional asymptotic regime when the dimensionality and the sample size tend to infinity at the same rate. However, most existing theories are built upon the assumption of independent and identically distributed samples, which may be violated in practice. For example, the observational data of continuous-time processes at discrete time points, namely, the…