On the number of common factors with high‐frequency data

By Xinbing Kong. 2017

50 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0f62f6fb98d649294d6af13f8cfd1e860e6a1eba

Citations in the corpus

• State-Varying Factor Models of Large Dimensions (2018, unknown): “This problem can be overcome by using high-frequency data as in Pelger (2019, 2020), Ait-Sahalia and Xiu (2019, 2017), Kong (2017, 2018), and Kong and Liu (2018), that allows to make general statements about time-variation in large-dimensional latent factor models.”