Pages that link to "Item:Q1676387"
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The following pages link to Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387):
Displayed 50 items.
- On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
- Simultaneous multiple change-point and factor analysis for high-dimensional time series (Q1668579) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← links)
- Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Testing against constant factor loading matrix with large panel high-frequency data (Q1753061) (← links)
- A rank test for the number of factors with high-frequency data (Q2000871) (← links)
- Robust factor number specification for large-dimensional elliptical factor model (Q2008233) (← links)
- A note on the likelihood ratio test in high-dimensional exploratory factor analysis (Q2066588) (← links)
- Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
- Testing the eigenvalue structure of spot and integrated covariance (Q2155301) (← links)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
- Estimating latent asset-pricing factors (Q2190237) (← links)
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
- Principal component analysis in the local differential privacy model (Q2290637) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals (Q2305972) (← links)
- An integrated principal component analysis and multi-objective mathematical programming approach to agile supply chain network design under uncertainty (Q2313771) (← links)
- High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
- Autoencoder asset pricing models (Q2658795) (← links)
- High dimensional minimum variance portfolio estimation under statistical factor models (Q2658801) (← links)
- Asymptotic properties of correlation-based principal component analysis (Q2673193) (← links)
- Identifying latent factors based on high-frequency data (Q2688663) (← links)
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data (Q3387056) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
- Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
- The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data (Q5146046) (← links)
- Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
- Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (Q5234323) (← links)
- Factor and Idiosyncratic Empirical Processes (Q5242464) (← links)
- Testing for time-varying factor loadings in high-dimensional factor models (Q5867577) (← links)
- Editors' introduction (Q5915738) (← links)
- Statistical inference in factor analysis for diffusion processes from discrete observations (Q6076572) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
- A penalized two-pass regression to predict stock returns with time-varying risk premia (Q6090588) (← links)
- Large volatility matrix analysis using global and national factor models (Q6108334) (← links)
- Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data (Q6110022) (← links)
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data (Q6117051) (← links)
- Sparse online principal component analysis for parameter estimation in factor model (Q6136313) (← links)
- High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
- A Simple Method for Predicting Covariance Matrices of Financial Returns (Q6180229) (← links)