Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525): Difference between revisions

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+High-frequency factor models and regressions
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+Ultra high frequency volatility estimation with dependent microstructure noise
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+The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data
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+Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
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+The Econometrics of Ultra-high-frequency Data
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