Principal Component Analysis of High-Frequency Data

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 st...

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Bibliographic Details
Published in:	Journal of the American Statistical Association Vol. 114; no. 525; pp. 287 - 303
Main Authors:	Aït-Sahalia, Yacine, Xiu, Dacheng
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 02.01.2019 Taylor & Francis Group,LLC Taylor & Francis Ltd
Subjects:	Analysis of covariance Covariance economic crises Economic crisis Eigenvalue Eigenvalues Eigenvector Eigenvectors equations Estimators High frequency Itô semimartingale principal component analysis Principal components Principal components analysis Regression analysis Securities markets Spectral function Statistical methods Statistics Stocks Theory and Methods
ISSN:	0162-1459, 1537-274X, 1537-274X
Online Access:	Get full text
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