High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times-Reference-Cited by-同舟云学术

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High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times

Published:2024-03 Issue:1 Volume:240 Page:105701
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Chen Dachuan

Funder

National Natural Science Foundation of China

Natural Science Foundation of Tianjin Science and Technology Correspondent Project

Publisher

Elsevier BV

Reference39 articles.

1. High-Frequency Financial Econometrics;Ait-Sahalia,2014

2. Ultra high frequency volatility estimation with dependent microstructure noise;Ait-Sahalia;J. Econometrics,2011

3. Using principal component analysis to estimate a high dimensional factor model with high-frequency data;Aït-Sahalia;J. Econometrics,2017

4. Principal component analysis of high-frequency data;Aït-Sahalia;J. Amer. Statist. Assoc.,2019

5. An Introduction to Multivariate Statistical Analysis;Anderson,1958

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