Using principal component analysis to estimate a highdimensional factor model with high-frequency data
Yacine Ait-Sahalia and Dacheng Xiu
| Year of publication: |
[2017]
|
|---|---|
| Authors: | Aït-Sahalia, Yacine ; Xiu, Dacheng |
| Publisher: |
London : Centre for Econometric Analysis, Cass Business School |
| Subject: | High-dimensional data | high-frequency data | latent factor model | principal compo-nents | portfolio optimization | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Extent: | 1 Online-Ressource (circa 44 Seiten) |
|---|---|
| Series: | CEA_372Cass working paper series. - [London] : [Centre for Economic Analysis, CEA_372Cass], ZDB-ID 2466063-2. - Vol. WP-CEA-2017, 02 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012806600