Large-dimensional factor modeling based on high-frequency observations
Year of publication: |
2019
|
---|---|
Authors: | Pelger, Markus |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 1, p. 23-42
|
Subject: | Systematic risk | High-dimensional data | High-frequency data | Latent factor model | PCA | Jumps | Semimartingales | Approximate factor model | Number of factors | Theorie | Theory | Faktorenanalyse | Factor analysis | Volatilität | Volatility | CAPM | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Martingal | Martingale |
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