搜索结果: 1-3 共查到“common factors”相关记录3条 . 查询时间(0.104 秒)
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
高频双因子模型 微结构 噪声公因数 效率价格 估计
font style='font-size:12px;'>
2023/4/17
We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
Symposium 31 Bird population explosions in agro-ecosystems: common factors in case histories：Introduction
font style='font-size:12px;'>
2007/12/12
Strctural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
risk factors structural change long memory fractional cointegration portfolio allocation
font style='font-size:12px;'>
2014/6/26
We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper,we point to structural breaks in the volatility of the facto...