High-frequency factor models and regressions
Yacine Aït-Sahalia, Ilze Kalnina, Dacheng Xiu
| Year of publication: |
2020
|
|---|---|
| Authors: | Aït-Sahalia, Yacine ; Kalnina, Ilze ; Xiu, Dacheng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 216.2020, 1, p. 86-105
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| Subject: | Big data | Factor model | Fama-French factors | Idiosyncratic risk | Time-varying betas | CAPM | Faktorenanalyse | Factor analysis | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | Risiko | Risk | Schätzung | Estimation | Big Data | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439640