Realized regression with asynchronous and noisy high frequency and high dimensional data

Dachuan Chen, Per A. Mykland, Lan Zhang

Year of publication:	2024
Authors:	Chen, Dachuan ; Mykland, Per A. ; Zhang, Lan
Subject:	High dimensionality \| Asynchronous sampling times \| Factor model \| High frequency \| Integrated beta \| Market microstructure noise \| Realized regression \| Spot beta \| Spot covariance and precision matrices \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Volatilität \| Volatility \| CAPM \| Betafaktor \| Beta risk \| Korrelation \| Correlation \| Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income \| Faktorenanalyse \| Factor analysis \| Noise Trading \| Noise trading \| Stichprobenerhebung \| Sampling \| Varianzanalyse \| Analysis of variance \| Portfolio-Management \| Portfolio selection \| Zeitreihenanalyse \| Time series analysis

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.jeconom.2023.02.015 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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