Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data

DOI10.1016/j.jeconom.2018.09.005zbMath1452.62758OpenAlexW2598656832WikidataQ129103999 ScholiaQ129103999MaRDI QIDQ1739632

Kun Lu, Dacheng Xiu, Chaoxing Dai

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.005

zbMATH Keywords

high-dimensional datahigh-frequency datafactor modelportfolio allocationBarra covariance matrix estimatorlow-rank plus sparse covariance matrixpre-averaging estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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High-dimensional realized covariance estimation: a parametric approach, Statistical inference in factor analysis for diffusion processes from discrete observations, Realized regression with asynchronous and noisy high frequency and high dimensional data, Identifying latent factors based on high-frequency data, High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times, The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data, Editorial for the special issue on financial engineering and risk management for JoE, Efficient and positive semidefinite pre-averaging realized covariance estimator, A rank test for the number of factors with high-frequency data, High-dimensional minimum variance portfolio estimation based on high-frequency data, High-dimensional multivariate realized volatility estimation, Testing for time-varying factor loadings in high-dimensional factor models, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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