Identifying latent factors based on high-frequency data

DOI10.1016/j.jeconom.2022.04.006OpenAlexW4280540943MaRDI QIDQ2688663

Publication date: 3 March 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.04.006

zbMATH Keywords

high-dimensional data high-frequency data jump factor model randomized test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

Unnamed Item
The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
Evaluating latent and observed factors in macroeconomics and finance
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
ANOVA for diffusions and Itō processes
Nonparametric tests for pathwise properties of semimartingales
Unexplained factors and their effects on second pass \(R\)-squared's
Testing whether jumps have finite or infinite activity
Discretization of processes.
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
On the jump activity index for semimartingales
Estimating the degree of activity of jumps in high frequency data
On the systematic and idiosyncratic volatility with large panel high-frequency data
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
Large-dimensional factor modeling based on high-frequency observations
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
Testing against constant factor loading matrix with large panel high-frequency data
A Hausman test for the presence of market microstructure noise in high frequency data
A rank test for the number of factors with high-frequency data
Testing for time-varying jump activity for pure jump semimartingales
Estimating latent asset-pricing factors
On time-varying factor models: estimation and testing
High-frequency factor models and regressions
A diagnostic criterion for approximate factor structure
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
Principal components estimation and identification of static factors
Asymptotic properties of realized power variations and related functionals of semimartingales
Jump activity estimation for pure-jump semimartingales via self-normalized statistics
Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices
Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
Microstructure Noise, Realized Variance, and Optimal Sampling
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
A note on Poisson maxima
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
A Randomized Sequential Procedure to Determine the Number of Factors
Lack of Fit Test for Infinite Variation Jumps at High Frequencies
On the number of common factors with high-frequency data
Common risk factors in the returns on stocks and bonds
Inferential Theory for Factor Models of Large Dimensions
Determining the Number of Factors in Approximate Factor Models
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
ON QUESTIONS RAISED BY THE COMBINATION OF TESTS BASED ON DISCONTINUOUS DISTRIBUTIONS

This page was built for publication: Identifying latent factors based on high-frequency data