A rank test for the number of factors with high-frequency data (Q2000871): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2019.03.004
+Normal rank
@@ Property / OpenAlex ID @@
+W2930817713
@@ Property / OpenAlex ID: W2930817713 / rank @@
+Normal rank
@@ Property / cites work @@
+Eigenvalue Ratio Test for the Number of Factors
@@ Property / cites work: Eigenvalue Ratio Test for the Number of Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Q5495335
@@ Property / cites work: Q5495335 / rank @@
+Normal rank
@@ Property / cites work @@
+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
@@ Property / cites work @@
+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
+Normal rank
@@ Property / cites work @@
+Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
+Normal rank
@@ Property / cites work @@
+The Rotation of Eigenvectors by a Perturbation. III
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+A test for the rank of the volatility process: the random perturbation approach
+Normal rank
@@ Property / cites work @@
+Quarticity and other functionals of volatility: efficient estimation
+Normal rank
@@ Property / cites work @@
+Modeling high-frequency financial data by pure jump processes
+Normal rank
@@ Property / cites work @@
+On the jump activity index for semimartingales
@@ Property / cites work: On the jump activity index for semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
+Normal rank
@@ Property / cites work @@
+On the number of common factors with high-frequency data
+Normal rank
@@ Property / cites work @@
+On the systematic and idiosyncratic volatility with large panel high-frequency data
+Normal rank
@@ Property / cites work @@
+Testing for pure-jump processes for high-frequency data
+Normal rank
@@ Property / cites work @@
+Jump Regressions
@@ Property / cites work: Jump Regressions / rank @@
+Normal rank
@@ Property / cites work @@
+A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
+Normal rank
@@ Property / cites work @@
+Testing Hypotheses About the Number of Factors in Large Factor Models
+Normal rank
@@ Property / cites work @@
+Large-dimensional factor modeling based on high-frequency observations
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
+Normal rank
@@ Property / cites work @@
+Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
+Normal rank
@@ Property / cites work @@
+Vast volatility matrix estimation for high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank