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Journal of the American Statistical Association Volume 114, 2019 - Issue 525
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Theory and Methods

Principal Component Analysis of High-Frequency Data

Yacine Aït-SahaliaDepartment of Economics, Princeton University and NBER, Princeton, NJ
&
Dacheng XiuBooth School of Business, University of Chicago, Chicago, IL
Pages 287-303 | Received 01 Apr 2017, Published online: 28 Jun 2018

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