Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525)
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scientific article; zbMATH DE number 7814013
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized regression with asynchronous and noisy high frequency and high dimensional data |
scientific article; zbMATH DE number 7814013 |
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Realized regression with asynchronous and noisy high frequency and high dimensional data (English)
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6 March 2024
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asynchronous sampling times
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factor model
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high dimensionality
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high frequency
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market microstructure noise
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realized regression
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spot beta
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integrated beta
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spot covariance and precision matrices
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