Pages that link to "Item:Q5229911"
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The following pages link to Principal Component Analysis of High-Frequency Data (Q5229911):
Displaying 25 items.
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- A weak law of large numbers for realised covariation in a Hilbert space setting (Q2074990) (← links)
- Equity clusters through the lens of realized semicorrelations (Q2126161) (← links)
- Testing the eigenvalue structure of spot and integrated covariance (Q2155301) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- High-frequency factor models and regressions (Q2305976) (← links)
- Improved index insurance design and yield estimation using a dynamic factor forecasting approach (Q2657001) (← links)
- Asymptotic properties of correlation-based principal component analysis (Q2673193) (← links)
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data (Q3387056) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
- High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
- Fast deflation sparse principal component analysis via subspace projections (Q5107781) (← links)
- The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data (Q5146046) (← links)
- Statistical inference in factor analysis for diffusion processes from discrete observations (Q6076572) (← links)
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data (Q6117051) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
- High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
- Principal component analysis and optimal portfolio (Q6187960) (← links)
- High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)
- Sparse inference of structural equation modeling with latent variables for diffusion processes (Q6578486) (← links)
- Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths (Q6617799) (← links)
- Probabilistic models and statistics for electronic financial markets in the digital age (Q6618240) (← links)
- State-Varying Factor Models of Large Dimensions (Q6620950) (← links)
- Interpretable Sparse Proximate Factors for Large Dimensions (Q6620981) (← links)
