相关参考文献
注意：仅列出部分参考文献，下载原文获取全部文献信息。A Randomized Sequential Procedure to Determine the Number of Factors
Lorenzo Trapani
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2018)
ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
Wei Biao Wu et al.
ECONOMETRIC THEORY (2018)
Testing for instability in covariance structures
Chihwa Kao et al.
BERNOULLI (2018)
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Mario Forni et al.
JOURNAL OF ECONOMETRICS (2017)
Adaptive estimation of continuous-time regression models using high-frequency data
Jia Li et al.
JOURNAL OF ECONOMETRICS (2017)
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Ait-Sahalia et al.
JOURNAL OF ECONOMETRICS (2017)
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Neil Shephard et al.
JOURNAL OF ECONOMETRICS (2017)
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Ilze Kalnina et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2017)
ASYMPTOTICS OF EMPIRICAL EIGENSTRUCTURE FOR HIGH DIMENSIONAL SPIKED COVARIANCE
Weichen Wang et al.
ANNALS OF STATISTICS (2017)
GENERALIZED METHOD OF INTEGRATED MOMENTS FOR HIGH-FREQUENCY DATA
Jia Li et al.
ECONOMETRICA (2016)
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
Jianqing Fan et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)
Inference theory for volatility functional dependencies
Jia Li et al.
JOURNAL OF ECONOMETRICS (2016)
Measuring Economic Policy Uncertainty
Scott R. Baker et al.
QUARTERLY JOURNAL OF ECONOMICS (2016)
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
Mario Forni et al.
JOURNAL OF ECONOMETRICS (2015)
Nonparametric test for a constant beta between It(o)over-cap semi-martingales based on high-frequency data
Markus Reiss et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2015)
A TEST FOR THE RANK OF THE VOLATILITY PROCESS: THE RANDOM PERTURBATION APPROACH
Jean Jacod et al.
ANNALS OF STATISTICS (2013)
QUARTICITY AND OTHER FUNCTIONALS OF VOLATILITY: EFFICIENT ESTIMATION
Jean Jacod et al.
ANNALS OF STATISTICS (2013)
ON THE ESTIMATION OF INTEGRATED COVARIANCE MATRICES OF HIGH DIMENSIONAL DIFFUSION PROCESSES
Xinghua Zheng et al.
ANNALS OF STATISTICS (2011)
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen et al.
JOURNAL OF ECONOMETRICS (2011)
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
George Kapetanios
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2010)
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Kim Christensen et al.
JOURNAL OF ECONOMETRICS (2010)
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Yacine Ait-Sahalia et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2010)
DETERMINING THE NUMBER OF FACTORS FROM EMPIRICAL DISTRIBUTION OF EIGENVALUES
Alexei Onatski
REVIEW OF ECONOMICS AND STATISTICS (2010)
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
Daniel Egloff et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2010)
HIGH-DIMENSIONAL ANALYSIS OF SEMIDEFINITE RELAXATIONS FOR SPARSE PRINCIPAL COMPONENTS
Arash A. Amini et al.
ANNALS OF STATISTICS (2009)
INFERENCE FOR CONTINUOUS SEMIMARTINGALES OBSERVED AT HIGH FREQUENCY
Per A. Mykland et al.
ECONOMETRICA (2009)
On Consistency and Sparsity for Principal Components Analysis in High Dimensions
Iain M. Johnstone et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2009)
Estimation of the Brownian dimension of a continuous Ito process
Jean Jacod et al.
BERNOULLI (2008)
A direct formulation for sparse PCA using semidefinite programming
Alexandre d'Aspremont et al.
SIAM REVIEW (2007)
Consistent estimation of the number of dynamic factors in a large N and T panel
Dante Amengual et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2007)
Investor sentiment and the cross-section of stock returns
Malcolm Baker et al.
JOURNAL OF FINANCE (2006)
Sparse principal component analysis
Hui Zou et al.
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (2006)
The generalized dynamic factor model consistency and rates
M Forni et al.
JOURNAL OF ECONOMETRICS (2004)
A modified principal component technique based on the LASSO
IT Jolliffe et al.
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (2003)
Inferential theory for factor models of large dimensions.
J Bai
ECONOMETRICA (2003)
Forecasting using principal components from a large number of predictors
JH Stock et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2002)
Determining the number of factors in approximate factor models
JS Bai et al.
ECONOMETRICA (2002)
On the distribution of the largest eigenvalue in principal components analysis
IM Johnstone
ANNALS OF STATISTICS (2001)
The generalized dynamic-factor model: Identification and estimation
M Forni et al.
REVIEW OF ECONOMICS AND STATISTICS (2000)
分享论文
