Work

Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model

Year: 2024

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbae018

Author: Simon T Bodilsen

Institution: Aarhus University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4401758487

FWCI: 1.44

Cites: 44

Cited by: 4

Related to: 10