基于对跳跃、微观结构噪声和非同步观测时间稳健的相关矩阵的高频主成分分析

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

Journal of Econometrics · 2024
被引 9
人大 AABS 4
金融计量经济学高频金融统计方法时间序列分析