Identifying latent factors based on high-frequency data
Year of publication: |
2023
|
---|---|
Authors: | Sun, Yucheng ; Xu, Wen ; Zhang, Chuanhai |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 233.2023, 1, p. 251-270
|
Subject: | Factor model | High-dimensional data | High-frequency data | Randomized test | Jump | Schätzung | Estimation | Theorie | Theory | Volatilität | Volatility | Faktorenanalyse | Factor analysis | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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