High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636): Difference between revisions

Revision as of 13:48, 28 August 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

instance of

scholarly article

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title

High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (English)

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author

Dachuan Chen

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published in

Journal of Econometrics

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publication date

21 March 2024

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zbMATH Keywords

asynchronous sampling times

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correlation matrix

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high frequency

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jumps

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market microstructure noise

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principal component analysis

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2024.105701

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cites work

Q5495335

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Ultra high frequency volatility estimation with dependent microstructure noise

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data

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Principal Component Analysis of High-Frequency Data

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Q3255781

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Asymptotic Theory for Principal Component Analysis

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Q5808686

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Q5830931

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High-dimensional multivariate realized volatility estimation

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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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Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations

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Microstructure noise in the continuous case: the pre-averaging approach

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Quarticity and other functionals of volatility: efficient estimation

0 references

Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window

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Q4778955

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Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices

0 references

On the number of common factors with high-frequency data

0 references

Asymptotic expansions for the distributions of statistics based on the sample correlation matrix in principal component analysis

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TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES

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Efficient estimation of integrated volatility functionals via multiscale jackknife

0 references

Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance

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The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times

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Large-dimensional factor modeling based on high-frequency observations

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A Tale of Two Time Scales

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Identifiers

DOI

10.1016/j.jeconom.2024.105701

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6199636

@@ Property / cites work @@
+Q5495335
@@ Property / cites work: Q5495335 / rank @@
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
+Normal rank
@@ Property / cites work @@
+Principal Component Analysis of High-Frequency Data
+Normal rank
@@ Property / cites work @@
+Q3255781
@@ Property / cites work: Q3255781 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Theory for Principal Component Analysis
+Normal rank
@@ Property / cites work @@
+Q5808686
@@ Property / cites work: Q5808686 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5830931
@@ Property / cites work: Q5830931 / rank @@
+Normal rank
@@ Property / cites work @@
+High-dimensional multivariate realized volatility estimation
+Normal rank
@@ Property / cites work @@
+The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data
+Normal rank
@@ Property / cites work @@
+Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
+Normal rank
@@ Property / cites work @@
+Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Quarticity and other functionals of volatility: efficient estimation
+Normal rank
@@ Property / cites work @@
+Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
+Normal rank
@@ Property / cites work @@
+On the number of common factors with high-frequency data
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions for the distributions of statistics based on the sample correlation matrix in principal component analysis
+Normal rank
@@ Property / cites work @@
+TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
+Normal rank
@@ Property / cites work @@
+Efficient estimation of integrated volatility functionals via multiscale jackknife
+Normal rank
@@ Property / cites work @@
+Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
+Normal rank
@@ Property / cites work @@
+The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
+Normal rank
@@ Property / cites work @@
+Large-dimensional factor modeling based on high-frequency observations
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank