Realized regression with asynchronous and noisy high frequency and high dimensional data

DOI10.1016/j.jeconom.2023.02.015OpenAlexW4379202987MaRDI QIDQ6150525

Lan Zhang, Dachuan Chen, Per Aslak Mykland

Publication date: 6 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.02.015

zbMATH Keywords

high dimensionalityfactor modelmarket microstructure noisehigh frequencyrealized regressionasynchronous sampling timesintegrated betaspot betaspot covariance and precision matrices

Mathematics Subject Classification ID

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

Cites Work

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