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

• المؤلف الرئيسي: CHEN, Dachuan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2024
• الموضوعات: Asynchronous sampling times; Correlation matrix; High frequency; Jumps; Market microstructure noise; Principal component analysis; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2746; https://ink.library.smu.edu.sg/context/soe_research/article/3745/viewcontent/ssrn_4134047_sv.pdf
• المؤسسة: Singapore Management University

This paper developed the high frequency estimation for the principal component analysis (PCA) based on correlation matrix. This estimation methodology is robust to jumps, microstructure noise and asynchronous observation times simultaneously, which is enabled by the newly proposed Truncated and Smoo...