Large-dimensional factor modeling based on high-frequency observations (Q1739630)
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scientific article; zbMATH DE number 7048307
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-dimensional factor modeling based on high-frequency observations |
scientific article; zbMATH DE number 7048307 |
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Large-dimensional factor modeling based on high-frequency observations (English)
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26 April 2019
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systematic risk
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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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PCA
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jumps
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semimartingales
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approximate factor model
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number of factors
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