Principal Component Analysis of High-Frequency Data (Q5229911): Difference between revisions

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+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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+Q5495335
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+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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+High-dimensional analysis of semidefinite relaxations for sparse principal components
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+Q3255781
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+Asymptotic Theory for Principal Component Analysis
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+Inferential Theory for Factor Models of Large Dimensions
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+Determining the Number of Factors in Approximate Factor Models
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+Q4267666
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+Q3551026
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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+Time Series
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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+Long memory continuous time models
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+Long memory in continuous-time stochastic volatility models
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+A Direct Formulation for Sparse PCA Using Semidefinite Programming
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+A general version of the fundamental theorem of asset pricing
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+On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
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+Common risk factors in the returns on stocks and bonds
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+The generalized dynamic factor model consistency and rates
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+Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
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+Dynamic factor models with infinite-dimensional factor space: asymptotic analysis
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+Q4807277
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+Convex spectral functions
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+The biplot graphic display of matrices with application to principal component analysis
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+Estimation of the Brownian dimension of a continuous Itô process
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+A test for the rank of the volatility process: the random perturbation approach
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+Discretization of processes.
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+Quarticity and other functionals of volatility: efficient estimation
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+On the distribution of the largest eigenvalue in principal components analysis
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+On Consistency and Sparsity for Principal Components Analysis in High Dimensions
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+Principal component analysis.
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+Testing for instability in covariance structures
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+A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
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+Adaptive estimation of continuous-time regression models using high-frequency data
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+Inference theory for volatility functional dependencies
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+Generalized Method of Integrated Moments for High-Frequency Data
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+Q4231779
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+Inference for Continuous Semimartingales Observed at High Frequency
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+Distinctness of the eigenvalues of a quadratic form in a multivariate sample
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+Q5449216
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+Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
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+Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Asymptotic inference for eigenvectors
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+Asymptotics of empirical eigenstructure for high dimensional spiked covariance
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+Asymptotic distribution of the sample roots for a nonnormal population
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+ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
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+On the estimation of integrated covariance matrices of high dimensional diffusion processes
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