@article{largenonstationarynoisycovariance,
  title = {Estimation of Large Financial Covariances: A Cross-Validation Approach},
  author = {Vincent Tan and Stefan Zohren},
  year = {2020},
  eprint = {2012.05757},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2012.05757v2},
}