Realized regression with asynchronous and noisy high frequency and high dimensional data

Dachuan Chen, Per A. Mykland and Lan Zhang

Journal of Econometrics, 2024, vol. 239, issue 2

Abstract: We develop regression for high frequency data. This regression is novel in that it can be for both fixed and increasing dimension. Also, the data may have microstructure noise, and observations (trades, or quotes) can be asynchronous, (i.e., the observations do not need to be synchronized across dimensions). As is customary for high-frequency inference methods, we refer to our method as “realized” regression.

Keywords: Asynchronous sampling times; Factor model; High dimensionality; High frequency; Market microstructure noise; Realized regression; Spot beta; Integrated beta; Spot covariance and precision matrices (search for similar items in EconPapers)
JEL-codes: C13 C14 C15 C32 C38 C55 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x

DOI: 10.1016/j.jeconom.2023.02.015

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