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High-frequency factor models and regressions - MaRDI portal

High-frequency factor models and regressions (Q2305976)

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High-frequency factor models and regressions
scientific article

    Statements

    title
    High-frequency factor models and regressions (English)
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    author
    Yacine Aït-Sahalia
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    Ilze Kalnina
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    Dacheng Xiu
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    publication date
    20 March 2020
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    zbMATH Keywords
    factor model
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    time-varying betas
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    Fama-French factors
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    idiosyncratic risk
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    big data
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62G08
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    62M10
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    zbMATH DE Number
    7180792
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    OpenAlex ID
    W2933970390
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