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On spectral distribution of high dimensional covariation matrices

Publikation: Working paperForskning


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In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider N-dimensional Itô integrals with time varying matrix-valued integrands. We observe n equidistant high frequency data points of the underlying Brownian diffusion and we assume that N/n -> c in (0,oo). We show that under a certain mixed spectral moment condition the spectral distribution of the empirical covariation matrix converges in distribution almost surely. Our proof relies on method of moments and applications of graph theory.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider20
StatusUdgivet - 15 dec. 2014
SerietitelCREATES Research Papers


  • Random matrices, Diffusion processes, Graphs, High frequency data

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