Supplementary Appendix to Beta-Adjusted Covariance Estimation

In this supplementary appendix, we first provide a brief R and Python tutorial for the proposed BAC estimator. Then, we describe the implementation of the BAC estimator in case of microstructure noise and jumps. We further present more detailed empirical results for the BAC estimation applied to the XLF ETF components. Finally, we provide additional proofs for results presented in the main paper.