Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns

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Understanding Systematic Risk: A High‐Frequency Approach (2020, unknown): “The notion of an “approximate factor model” was introduced by Chamberlain and Rothschild (1983), which allowed for a non-diagonal covariance matrix of the idiosyncratic component. Connor and Korajczyk (1988, 1993) study the use of principal component analysis in the case of an unknown covariance mat”
High-frequency factor models and regressions (2020, unknown): “Bollerslev et al. (2016) consider a closely related model.”
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency (2017, methodology): “These methods are now commonly used in economics and finance, see, for example, Patton and Verardo (2012), Bandi and Renò (2015), Bollerslev, Li, and Todorov (2016), and Segal, Shaliastovich, and Yaron (2015).”