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

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

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...

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書目詳細資料
主要作者:	CHEN, Dachuan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2024
主題:	Asynchronous sampling times Correlation matrix High frequency Jumps Market microstructure noise Principal component analysis Econometrics
在線閱讀:	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
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機構:	Singapore Management University
語言:	English

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