High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
Dachuan Chen
| Year of publication: |
2024
|
|---|---|
| Authors: | Chen, Dachuan |
| Subject: | Asynchronous sampling times | Correlation matrix | High frequency | Jumps | Market microstructure noise | Principal component analysis | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Noise Trading | Noise trading | Hauptkomponentenanalyse | Zeitreihenanalyse | Time series analysis | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105701 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075056