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高频双因子模型中微观结构噪声与有效价格共同因子的估计AI 解读

We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated with microstructure noise. The dual factor structure allows a factor structure for microstructure noise in addition to the factor structure for efficient log-prices. We construct estimators of factors for both efficient log-prices and microstructure noise as well as their common components, and provide uniform consistency of these…

多个条件变量下大型动态协方差矩阵的半参数估计新方法AI 解读

This paper studies the estimation of large dynamic covariance matrices with multiple conditioning variables. We introduce an easy-to-implement semiparametric method to estimate each entry of the covariance matrix via model averaging marginal regression, and then apply a shrinkage technique to obtain the dynamic covariance matrix estimation. Under some regularity conditions, we derive the asymptotic properties for the proposed estimators including the uniform consistency with…