Pages that link to "Item:Q1739632"

The following pages link to Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632):

Displaying 15 items.

• Editorial for the special issue on financial engineering and risk management for JoE (Q1739626) (← links)
• A rank test for the number of factors with high-frequency data (Q2000871) (← links)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
• High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
• The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data (Q5146046) (← links)
• Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
• Testing for time-varying factor loadings in high-dimensional factor models (Q5867577) (← links)
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (Q5870780) (← links)
• Statistical inference in factor analysis for diffusion processes from discrete observations (Q6076572) (← links)
• Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
• High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)
• High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
• A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data (Q6620901) (← links)