Before revision:  We show that in the high dimensional case when the dimension p and the observation frequency n grow in the same rate, the limiting spectral distribution (LSD) of the RCV matrix depends on the covolatility process not only through the targeting ICV matrix, but also on how the covolatility process varies in time .
After revision:  We show that in the high dimensional case when the dimension p and the observation frequency n grow in the same rate, the limiting spectral distribution (LSD) of RCV depends on the covolatility process not only through the targeting ICV matrix, but also on how the covolatility process varies in time .