Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Aït-Sahalia, Dacheng Xiu
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Aït-Sahalia, Yacine ; Xiu, Dacheng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 2, p. 384-399
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| Subject: | High-dimensional data | High-frequency data | Latent factor model | Principal components | Portfolio optimization | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Hauptkomponentenanalyse | Principal component analysis | Zeitreihenanalyse | Time series analysis | CAPM | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.08.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011920525