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Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
Favorite  |  View/Download:66/0  |  Submit date:2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property