1. High-frequency factor models and regressions;Y A�t-Sahalia;Journal of Econometrics,2020
2. Using principal component analysis to estimate a high dimensional factor model with high-frequency data;Y A�t-Sahalia;Journal of Econometrics,2017
3. Principal component analysis of high-frequency data;Y A�t-Sahalia;Journal of the American Statistical Association,2019
4. Realized beta: Persistence and predictability;T G Andersen;Econometric Analysis of Financial and Economic Time Series,2006
5. Intraday crosssectional distributions of systematic risk;T G Andersen;Journal of Econometrics,2022