Large-dimensional factor modeling based on high-frequency observations

Large-dimensional factor modeling based on high-frequency observations

Neyman Seminar
Oct 28, 2015, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Markus Pelger, Stanford University
This paper develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. I derive a new estimator for the number of factors and derive consistent and asymptotically mixed-normal estimators of the loadings and factors under the assumption of a large number of cross-sectional and high-frequency observations. The estimation approach can separate...