On spectral distribution of high dimensional covariation matrices

Abstract: 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 Ito integrals with time varying matrix-valued integrands. We observe $n$ equidistant high frequency data points of the underlying Brownian diffusion and we assume that $N/n\rightarrow c\in (0,\infty)$. 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.