Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387)
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scientific article; zbMATH DE number 6803389
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| English | Using principal component analysis to estimate a high dimensional factor model with high-frequency data |
scientific article; zbMATH DE number 6803389 |
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data (English)
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7 November 2017
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high-dimensional data
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high-frequency data
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latent factor model
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principal components
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portfolio optimization
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0.9151509
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0.9050033
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0.87878424
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0.8705974
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0.86990094
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0.86881864
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0.86487937
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0.8634704
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0.8630652
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