High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2024.105701 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W4391708216 / rank | |||
Normal rank | |||
Revision as of 10:19, 30 July 2024
scientific article; zbMATH DE number 7822324
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times |
scientific article; zbMATH DE number 7822324 |
Statements
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (English)
0 references
21 March 2024
0 references
asynchronous sampling times
0 references
correlation matrix
0 references
high frequency
0 references
jumps
0 references
market microstructure noise
0 references
principal component analysis
0 references
