Pages that link to "Item:Q1676387"
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The following pages link to Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387):
Displaying 18 items.
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
- A penalized two-pass regression to predict stock returns with time-varying risk premia (Q6090588) (← links)
- Large volatility matrix analysis using global and national factor models (Q6108334) (← links)
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data (Q6117051) (← links)
- Matrix Factor Analysis: From Least Squares to Iterative Projection (Q6150367) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Time-varying minimum variance portfolio (Q6150513) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
- High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
- High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)
- Sparse inference of structural equation modeling with latent variables for diffusion processes (Q6578486) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
- A Nodewise Regression Approach to Estimating Large Portfolios (Q6617775) (← links)
- Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths (Q6617799) (← links)
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data (Q6620901) (← links)
- State-Varying Factor Models of Large Dimensions (Q6620950) (← links)
- Changes in the span of systematic risk exposures (Q6646160) (← links)
