Gong, Xue; Zhang, Weiguo; Xu, Weijun; Li, Zhe - In: Financial innovation : FIN 8 (2022), pp. 1-44
analysis (s-PCA) method and demonstrate that it exhibits significant in- and out-of-sample predictabilities for realized …, namely, PCA and the partial least squares (PLS) methods. The result is robust in several checks. Further, we explain that s-PCA …