Principal Component Analysis of High Frequency Data
收藏NBER2015-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w21584
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资源简介：
We develop the necessary methodology to conduct principal component analysis at high frequency. We construct estimators of realized eigenvalues, eigenvectors, and principal components and provide the asymptotic distribution of these estimators. Empirically, we study the high frequency covariance
提供机构：
美国国家经济研究局
创建时间：
2015-09-01
