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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525