Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525): 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.2023.02.015 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W4379202987 / rank | |||
Normal rank | |||
Revision as of 09:11, 30 July 2024
scientific article; zbMATH DE number 7814013
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized regression with asynchronous and noisy high frequency and high dimensional data |
scientific article; zbMATH DE number 7814013 |
Statements
Realized regression with asynchronous and noisy high frequency and high dimensional data (English)
0 references
6 March 2024
0 references
asynchronous sampling times
0 references
factor model
0 references
high dimensionality
0 references
high frequency
0 references
market microstructure noise
0 references
realized regression
0 references
spot beta
0 references
integrated beta
0 references
spot covariance and precision matrices
0 references
