On the number of common factors with high-frequency data

From MaRDI portal
Publication:5384478

DOI10.1093/biomet/asx014zbMath1506.62325OpenAlexW2606555351MaRDI QIDQ5384478

Xin-Bing Kong

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asx014




Related Items (18)

High-dimensional two-sample mean vectors test and support recovery with factor adjustmentRank determination in tensor factor modelOn the systematic and idiosyncratic volatility with large panel high-frequency dataRobust estimation of the number of factors for the pair-elliptical factor modelsAsymptotic properties of correlation-based principal component analysisDiscrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency DataHigh-dimensional estimation of quadratic variation based on penalized realized varianceIdentifying latent factors based on high-frequency dataHigh frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation timesAdaptive thresholding for large volatility matrix estimation based on high-frequency financial dataThe Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency DataEfficient and positive semidefinite pre-averaging realized covariance estimatorTesting against constant factor loading matrix with large panel high-frequency dataA rank test for the number of factors with high-frequency dataRobust factor number specification for large-dimensional elliptical factor modelAsymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency dataInference on common intraday periodicity at high frequenciesInference on volatility curve at high frequencies via functional data analysis




This page was built for publication: On the number of common factors with high-frequency data