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Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data
Fan, Jianqing; Furger, Alex; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 489-503
Persistent link: https://www.econbiz.de/10011692389
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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
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Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
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Asset pricing with omitted factors
Giglio, Stefano; Xiu, Dacheng - In: Journal of political economy 129 (2021) 7, pp. 1947-1990
Persistent link: https://www.econbiz.de/10012610477
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Detection of units with pervasive effects in large panel data models
Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
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Determining the number of breaks in large dimensional factor models with structural changes
Wang, Lu; Zhou, Ruichao; Wu, Jianhong - In: Economics letters 199 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012605871
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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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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003814581
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Eigenvalue difference test for the number of common factors in the approximate factor models
Wu, Jianhong - In: Economics letters 169 (2018), pp. 63-67
Persistent link: https://www.econbiz.de/10012019511
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Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance
Wu, Jianhong - In: Economics letters 176 (2019), pp. 60-63
Persistent link: https://www.econbiz.de/10012121231