Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

By Yacine Aït-Sahalia, D. Xiu. 2017

202 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e6c28696777d5b7680471b16e2093ef0af2b81f3

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Citations in the corpus

A Nodewise Regression Approach to Estimating Large Portfolios (2016, methodology): “Fan, Furger, and Xiu (2016) and Ait-Sahalia and Xiu (2017) investigated the accuracy of precision matrices estimated by using factor models, but do not analyze portfolio variances and weights when p > n. Fan, Fan, and Lv (2008) proposed a covariance matrix estimator assuming observable factors and a”
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2019, methodology): “(2017), and Aı̈t-Sahalia and Xiu (2017). Most of these papers only consider a limited number of assets, typically less than 50, but Brito et al. (2018) extend the work of Callot et al. (2017) by proposing a Factor-HAR model estimated with penalized regressions to forecast large realized covariance m”
Principal Component Analysis of High-Frequency Data (2016, methodology): “While the PCA developments in this article are fully nonparametric without any assumptions on the existence of a factor structure, related techniques to those developed here can be employed to estimate parametric or semiparametric continuous-time models with a factor structure allowing for an increa”
State-Varying Factor Models of Large Dimensions (2018, unknown): “This problem can be overcome by using high-frequency data as in Pelger (2019, 2020), Ait-Sahalia and Xiu (2019, 2017), Kong (2017, 2018), and Kong and Liu (2018), that allows to make general statements about time-variation in large-dimensional latent factor models.”
Simultaneous multiple change-point and factor analysis for high-dimensional time series (2016, unknown): “However, the true number of factors r is typically unknown and, since the seminal paper by Bai andNg (2002), estimation of the number of factors has been one of the most researched problems in the factor model literature see also Alessi et al. (2010), Onatski (2010) and Ahn and Horenstein (2013).”