Using principal component analysis to estimate a high dimensional factor model with high-frequency data
type: Item
instance of: scholarly article
title: Using principal component analysis to estimate a high dimensional factor model with high-frequency data
zbMATH Open document ID: 1377.62148
author: Yacine Aït-Sahalia
author: Dacheng Xiu
published in: Journal of Econometrics
publication date: 2017-11-07T00:00:00Z
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6803389
zbMATH Keywords: high-dimensional data
zbMATH Keywords: high-frequency data
zbMATH Keywords: latent factor model
zbMATH Keywords: principal components
zbMATH Keywords: portfolio optimization
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.08.015
OpenAlex ID: W3125051887
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DOI: 10.1016/J.JECONOM.2017.08.015
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