For high-dimensional diffusion processes with multiple transactions per timestamp, a pre-averaged time-variation adjusted realized covariance matrix has a limiting spectral distribution determined solely by the integrated covariance matrix.
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On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions
For high-dimensional diffusion processes with multiple transactions per timestamp, a pre-averaged time-variation adjusted realized covariance matrix has a limiting spectral distribution determined solely by the integrated covariance matrix.