英文文献：On spectral distribution of high dimensional covariation matrices
英文文献作者：Claudio Heinrich,Mark Podolskij
英文文献摘要：
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 It? 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.