Media type: E-Book Title: Using principal component analysis to estimate a highdimensional factor model with high-frequency data Contributor: Aït-Sahalia, Yacine [VerfasserIn]; Xiu, Dacheng [VerfasserIn] imprint: London: Centre for Econometric Analysis, Cass Business School, [2017] Published in: CEA_372Cass working paper series ; 2017,2 Extent: 1 Online-Ressource (circa 44 Seiten) Language: English Keywords: High-dimensional data ; high-frequency data ; latent factor model ; principal compo-nents ; portfolio optimization ; Graue Literatur Origination: Footnote: Access State: Open Access