Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
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Publication:1739632
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Cited in
(24)- Editorial for the special issue on financial engineering and risk management for JoE
- 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
- Identifying latent factors based on high-frequency data
- High-dimensional realized covariance estimation: a parametric approach
- The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Testing for time-varying factor loadings in high-dimensional factor models
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Statistical inference in factor analysis for diffusion processes from discrete observations
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- High dimensional regression coefficient test with high frequency data
- Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
- A simple realized factor-based portfolio: improving minimum variance portfolio performance by incorporating low-frequency betas
- High frequency factor analysis with partially observable factors
- Estimation of large covariance matrices with mixed factor structures
- Dynamic Realized Minimum Variance Portfolio Models
- Nonparametric estimation of large spot volatility matrices for high-frequency financial data
- Spectral analysis of high-dimensional spot volatility matrix with applications
- High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
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