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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
高频双因子模型 微结构 噪声公因数 效率价格 估计
2023/4/17
We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...