Pages that link to "Item:Q1739630"

The following pages link to Large-dimensional factor modeling based on high-frequency observations (Q1739630):

Displaying 21 items.

• On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
• Editorial for the special issue on financial engineering and risk management for JoE (Q1739626) (← 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)
• Testing the eigenvalue structure of spot and integrated covariance (Q2155301) (← 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)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
• High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
• Asymptotic properties of correlation-based principal component analysis (Q2673193) (← links)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• Large dimensional latent factor modeling with missing observations and applications to causal inference (Q2688665) (← 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)
• Large dimensional portfolio allocation based on a mixed frequency dynamic factor model (Q5095203) (← links)
• The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data (Q5146046) (← links)
• Statistical inference in factor analysis for diffusion processes from discrete observations (Q6076572) (← links)
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
• High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
• High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)