Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
已知因子、已知载荷或均未知：含噪异步数据下大型协方差估计量的比较
We investigate estimators of factor-model-based large covariance (and precision) matrices using high-frequency data, which are asynchronous and potentially contaminated by the market microstructure noise. Our estimation strategies rely on the pre-averaging method with refresh time to solve the microstructure problems, while using three different specifications of factor models with a variety of thresholding methods, respectively, to battle the curse of dimensionality. To…