Large-dimensional factor modeling based on high-frequency observations

标题

作者

关键词

Systematic risk, High-dimensional data, High-frequency data, Latent factor model, PCA, Jumps, Semimartingales, Approximate factor model, Number of factors

出版物

JOURNAL OF ECONOMETRICS

Volume 208, Issue 1, Pages 23-42

出版商

Elsevier BV

发表日期

2018-10-12

DOI

10.1016/j.jeconom.2018.09.004

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