
@article{fanfurgerxiu16,
	Author = {Jianqing Fan and Alex Furger and Dacheng Xiu},
	Journal = {Journal of Business and Economic Statistics},
	Number = {4},
	Pages = {489-503},
	Title = {Incorporating Global Industrial Classification Standard into Portfolio Allocation: {A} Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data},
	Volume = {34},
	Year = {2016}}

@techreport{yackalninaxiu19,
	Author = {Yacine A{\"{\i}}t-Sahalia and Ilze Kalnina and Dacheng Xiu},
	Institution = {The University of Chicago},
	Title = {High Frequency Factors and Regressions},
	Year = {2019}}

@techreport{kalninatewou19,
	Author = {Ilze Kalnina and Kokouvi Tewou},
	Institution = {North Carolina State Universitys},
	Title = {Cross-Sectional Dependence in Idiosyncratic Volatility},
	Year = {2019}}


@article{yacinexiuPCA17,
	Author = {Yacine A{\"{\i}}t-Sahalia and Dacheng Xiu},
	Institution = {Princeton University and The University of Chicago},
	Journal = {Journal of Econometrics},
	Pages = {388-399},
	Title = {Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data},
	Volume = {201},
	Year = {2017}}
