Principal Component Analysis of High-Frequency Data
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Publication:5229911
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Cited in
(48)- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- Decomposing anomalies
- A weak law of large numbers for realised covariation in a Hilbert space setting
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- High-frequency factor models and regressions
- Activity signature functions for high-frequency data analysis
- Improved index insurance design and yield estimation using a dynamic factor forecasting approach
- Asymptotic properties of correlation-based principal component analysis
- ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
- Extracting information from mega‐panels and high‐frequency data
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