Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida
  Estimator of Integrated Covariance Matrix   In this paper, the estimation of the Integrated Covariance matrix from
high-frequency data, for high dimensional stock price process, is considered.
The Hayashi-Yoshida covolatility estimator is an improvement over Realized
covolatility for asynchronous data and works well in low dimensions. However it
becomes inconsistent and unreliable in the high dimensional situation. We study
the bulk spectrum of this matrix and establish its connection to the spectrum
of the true covariance matrix in the limiting case where the dimension goes to
infinity. The results are illustrated with simulation studies in finite, but
high, dimensional cases. An application to real data with tick-by-tick data on
50 stocks is presented.

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The categories of this paper are: astro-ph
18
The categories of this paper are: econ
8
The categories of this paper are: hep-ex
32
The categories of this paper are: atom-ph
23
The categories of this paper are: solv-int
14
The categories of this paper are: math-ph
21
The categories of this paper are: adap-org
10
The categories of this paper are: q-bio
27
The categories of this paper are: comp-gas
15
The categories of this paper are: nucl-ex
13
The categories of this paper are: quant-ph
37
The categories of this paper are: supr-con
29
The categories of this paper are: funct-an
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
31
The categories of this paper are: ao-sci