Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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Publication:1676387
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
portfolio optimizationhigh-dimensional datahigh-frequency dataprincipal componentslatent factor model
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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