High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636)
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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)
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21 March 2024
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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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