High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times

DOI10.1016/j.jeconom.2024.105701OpenAlexW4391708216WikidataQ128169794 ScholiaQ128169794MaRDI QIDQ6199636

Publication date: 21 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2024.105701

zbMATH Keywords

jumps principal component analysis correlation matrix market microstructure noise high frequency asynchronous sampling times

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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