Testing the eigenvalue structure of spot and integrated covariance (Q2155301): Difference between revisions

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-.1016/j.jeconom.2021.02.006
@@ Property / DOI: 10.1016/j.jeconom.2021.02.006 / rank @@
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@@ Property / author @@
-Julian S. Williams
@@ Property / author: Julian S. Williams / rank @@
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@@ Property / author @@
+Julian S. Williams
@@ Property / author: Julian S. Williams / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2021.02.006
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@@ Property / OpenAlex ID @@
+W3137982218
@@ Property / OpenAlex ID: W3137982218 / rank @@
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@@ Property / cites work @@
+Eigenvalue Ratio Test for the Number of Factors
@@ Property / cites work: Eigenvalue Ratio Test for the Number of Factors / rank @@
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+Q5495335
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+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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+Principal Component Analysis of High-Frequency Data
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+Asymptotic Theory for Principal Component Analysis
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+Determining the Number of Factors in Approximate Factor Models
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+A Model-Free Test for Reduced Rank in Multivariate Regression
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+ASYMPTOTIC THEORY FOR PRINCIPAL COMPONENT ANALYSIS: NON-NORMAL CASE1
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+Bootstrapping realized multivariate volatility measures
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+On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
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+Sensitivity analysis of all eigenvalues of a symmetric matrix
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+Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
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+BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
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+Asymptotic inference for eigenvectors
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+Asymptotic distribution of the sample roots for a nonnormal population
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@@ Property / DOI @@
+.1016/J.JECONOM.2021.02.006
@@ Property / DOI: 10.1016/J.JECONOM.2021.02.006 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2155301