The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data

DOI10.1080/01621459.2019.1672555zbMath1453.62535OpenAlexW2942784246WikidataQ127023945 ScholiaQ127023945MaRDI QIDQ5146046

Dachuan Chen, Lan Zhang, Per Aslak Mykland

Publication date: 22 January 2021

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2019.1672555

zbMATH Keywords

principal component analysishigh dimensionalityfactor modelmarket microstructure noisehigh frequencyasynchronous sampling times

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

The observed asymptotic variance: hard edges, and a regression approach ⋮ Adaptive robust large volatility matrix estimation based on high-frequency financial data ⋮ Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data ⋮ 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

Uses Software

• ElemStatLearn

Cites Work

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