We develop the necessary methodology to conduct principal component analysis at high
frequency. We construct estimators of realized eigenvalues, eigenvectors, and principal …

Numerous methods exist aimed at examining patterns in structured and unstructured
financial data. Applications of these methods include fraud detection, risk management …

Motivated by statistical analysis of latent factor models for high-frequency financial data, we
develop sharp upper bounds for the spectral norm of the realized covariance matrix of a high …

This thesis is concerned with asymptotic properties of the eigenvalues of high-dimensional
sample covariance and correlation matrices under an infinite fourth moment of the entries. In …

In this paper, we study the limiting behavior of eigenvalues of the variance-covariance matrix
of a random sample from a multivariate subordinator heavy-tailed Lévy process, and use …

Quadratic Variation of High Dimensional Itô Processes Page 1 Setting Statement of the Main
Result Sketch of the Proof Quadratic Variation of High Dimensional Itô Processes Claudio …