Large-Dimensional Factor Modeling Based on High-Frequency Observations

Large-Dimensional Factor Modeling Based on High-Frequency Observations
Author: Markus Pelger
Publisher:
Total Pages: 125
Release: 2018
Genre:
ISBN:

This paper develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. We derive an estimator for the number of factors and 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 factors for continuous and rare jump risk. The estimators for the loadings and factors are based on the principal component analysis of the quadratic covariation matrix. The estimator for the number of factors uses a perturbed eigenvalue ratio statistic. In an empirical analysis of the S&P 500 firms we estimate four stable continuous systematic factors, which can be approximated very well by a market and industry portfolios. Jump factors are different from the continuous factors.

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics
Author: Yacine Aït-Sahalia
Publisher: Princeton University Press
Total Pages: 683
Release: 2014-07-21
Genre: Business & Economics
ISBN: 0691161437

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes

Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes
Author: Feng Qu
Publisher: World Scientific
Total Pages: 167
Release: 2020-08-24
Genre: Business & Economics
ISBN: 9811220794

This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.

Dynamic Factor Models

Dynamic Factor Models
Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
Total Pages: 685
Release: 2016-01-08
Genre: Business & Economics
ISBN: 1785603523

This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Dynamic Factor Models

Dynamic Factor Models
Author: Jörg Breitung
Publisher:
Total Pages: 40
Release: 2016
Genre:
ISBN:

Factor models can cope with many variables without running into scarce degrees of freedom.

High Frequency Factor Analysis with Partially Observable Factors

High Frequency Factor Analysis with Partially Observable Factors
Author: Dachuan Chen
Publisher:
Total Pages: 0
Release: 2023
Genre:
ISBN:

This paper considers a novel factor structure -- Partially Observable Factor Model -- where both observable factors and latent factors exist in the model simultaneously. Such factor structure can make sure both interpretability and goodness-of-fit at the same time. Necessary estimation methodologies for this partially observable factor model are developed in this paper for the high frequency data. The proposed estimation methodology is robust to jumps, microstructure noise and asynchronous observation times simultaneously. In the case of finite dimensionality, we provide the estimation theory for the integrated eigenvalues of the residual covariance matrix, which including the bias-corrected estimator, central limit theorem and asymptotic variance estimator. As a result, the asymptotic normality of the bias-corrected estimator can be applied to test the existence of the latent factors. In the case of high dimensionality, we proposed the estimation method for the high dimensional covariance and precision matrices. In contrast to the existing literature, which assuming the residual covariance matrix generated from regression to be weakly correlated or sparse, this paper relaxed such assumptions and designed a new estimator for this task. The theoretical development of this new estimator is non-trivial and the convergence rates are established accordingly. Monte Carlo simulation demonstrates the validity of our estimation methodologies. Empirical study demonstrates that the latent factors significantly exist in the residual process of the high frequency regression.

The Elements of Financial Econometrics

The Elements of Financial Econometrics
Author: Jianqing Fan
Publisher: Cambridge University Press
Total Pages: 394
Release: 2017-03-23
Genre: Business & Economics
ISBN: 1107191173

A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.

High-Dimensional Covariance Estimation

High-Dimensional Covariance Estimation
Author: Mohsen Pourahmadi
Publisher: John Wiley & Sons
Total Pages: 204
Release: 2013-06-24
Genre: Mathematics
ISBN: 1118034295

Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of statistics and machine learning. Recently, the classical sample covariance methodologies have been modified and improved upon to meet the needs of statisticians and researchers dealing with large correlated datasets. High-Dimensional Covariance Estimation focuses on the methodologies based on shrinkage, thresholding, and penalized likelihood with applications to Gaussian graphical models, prediction, and mean-variance portfolio management. The book relies heavily on regression-based ideas and interpretations to connect and unify many existing methods and algorithms for the task. High-Dimensional Covariance Estimation features chapters on: Data, Sparsity, and Regularization Regularizing the Eigenstructure Banding, Tapering, and Thresholding Covariance Matrices Sparse Gaussian Graphical Models Multivariate Regression The book is an ideal resource for researchers in statistics, mathematics, business and economics, computer sciences, and engineering, as well as a useful text or supplement for graduate-level courses in multivariate analysis, covariance estimation, statistical learning, and high-dimensional data analysis.

Essays in Honor of Cheng Hsiao

Essays in Honor of Cheng Hsiao
Author: Dek Terrell
Publisher: Emerald Group Publishing
Total Pages: 418
Release: 2020-04-15
Genre: Business & Economics
ISBN: 1789739594

Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

The Oxford Handbook of Economic Forecasting

The Oxford Handbook of Economic Forecasting
Author: Michael P. Clements
Publisher: OUP USA
Total Pages: 732
Release: 2011-07-08
Genre: Business & Economics
ISBN: 0195398645

Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.