Principal Component Analysis of High-Frequency Data
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Publication:5229911
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Cited in
(40)- On the number of common factors with high-frequency data
- Detecting factors of quadratic variation in the presence of market microstructure noise
- ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
- Some properties of portfolios constructed from principal components of asset returns
- Principal component analysis using frequency components of multivariate time series
- Extracting information from mega‐panels and high‐frequency data
- Sparse inference of structural equation modeling with latent variables for diffusion processes
- Fast deflation sparse principal component analysis via subspace projections
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- Equity clusters through the lens of realized semicorrelations
- Asymptotic properties of correlation-based principal component analysis
- The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
- Sparse online principal component analysis for parameter estimation in factor model
- Complex correlation approach for high frequency financial data
- Decomposing anomalies
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Principal eigenportfolios for U.S. equities
- Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
- Probabilistic models and statistics for electronic financial markets in the digital age
- Testing the eigenvalue structure of spot and integrated covariance
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- Interpretable Sparse Proximate Factors for Large Dimensions
- State-Varying Factor Models of Large Dimensions
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- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
- High-dimensional realized covariance estimation: a parametric approach
- A weak law of large numbers for realised covariation in a Hilbert space setting
- High-frequency factor models and regressions
- Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
- Activity signature functions for high-frequency data analysis
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Characterizing financial crises using high-frequency data
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