This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...

listing the variables corresponding to the columns of the covariance matrix in the VAR= option. If you specify n variables in the VAR= option, the values of these variables in the first n observations ...

(2009) to target the diagonal elements of the sample covariance matrix. We derive the closed-form solution of the shrinkage parameter and show by simulation that, when the diagonal elements of the ...

the covariance matrix as a whole is strongly biased – unless T is much larger than N. For large portfolios, where N is a few thousand, the number of days in the sample should be in the tens of ...