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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2746 |
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| Institution: | Singapore Management University |
| Language: | English |