Testing against constant factor loading matrix with large panel high-frequency data (Q1753061): Difference between revisions

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Property / DOI: 10.1016/j.jeconom.2018.03.001 / rank
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Latest revision as of 08:19, 11 December 2024

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Testing against constant factor loading matrix with large panel high-frequency data
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    Testing against constant factor loading matrix with large panel high-frequency data (English)
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    25 May 2018
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    continuous-time factor model
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    factor loading matrix
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    high-dimensional Itô process
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