Large-dimensional factor modeling based on high-frequency observations

DOI10.1016/j.jeconom.2018.09.004zbMath1452.62786OpenAlexW3123638141MaRDI QIDQ1739630

Markus Pelger

Publication date: 26 April 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.004

zbMATH Keywords

jumpssemimartingaleshigh-dimensional datahigh-frequency dataPCAlatent factor modelsystematic risknumber of factorsapproximate factor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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