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20212024
most citedMatrix-based Prediction Approach for Intraday Instantaneous Volatility Vector

1 citations · 2 across the 4 of their papers we have counts for

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econ.EM2021

Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia

Sung Hoon Choi

I develop a feasible weighted projected principal component (FPPC) analysis for factor models in which observable characteristics partially explain the latent factors. This novel m…