AGRIS - International System for Agricultural Science and Technology

Large-dimensional factor modeling based on high-frequency observations

2019

Pelger, Markus


Bibliographic information
Journal of econometrics
Volume 208 Issue 1 Pagination 23 - 42 ISSN 0304-4076
Publisher
Elsevier B.V.
Other Subjects
C58; Latent factor model; High-dimensional data; Approximate factor model; C14; Number of factors; C55; High-frequency data; Jumps; Pca; Systematic risk; Empirical research; C38; Semimartingales; Economic theory
Language
English
Type
Journal Article; Text

2024-02-28
MODS
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