@article{Aït-Sahalia2017, author = "Yacine Aït-Sahalia and Dacheng Xiu", title = "{Principal Component Analysis of High Frequency Data*}", year = "2017", month = "11", url = "https://tandf.figshare.com/articles/journal_contribution/Principal_Component_Analysis_of_High_Frequency_Data_sup_sup_/5598769", doi = "10.6084/m9.figshare.5598769.v1" }