Using principal component analysis to estimate a high dimensional factor model with high-frequency data

DOI10.1016/j.jeconom.2017.08.015zbMath1377.62148OpenAlexW3125051887MaRDI QIDQ1676387

Dacheng Xiu, Yacine Aït-Sahalia

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.08.015

zbMATH Keywords

portfolio optimizationhigh-dimensional datahigh-frequency dataprincipal componentslatent factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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