The Five Trolls Under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data
2020 ◽
Vol 115
(532)
◽
pp. 1960-1977
◽
2018 ◽
Vol 114
(525)
◽
pp. 287-303
◽
2017 ◽
Vol 201
(2)
◽
pp. 384-399
◽
2013 ◽
Vol 134
(5)
◽
pp. 4216-4216