Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using principal component analysis to estimate a high dimensional factor model with high-frequency data |
scientific article |
Statements
Using principal component analysis to estimate a high dimensional factor model with high-frequency data (English)
0 references
7 November 2017
0 references
high-dimensional data
0 references
high-frequency data
0 references
latent factor model
0 references
principal components
0 references
portfolio optimization
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
