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

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Using principal component analysis to estimate a high dimensional factor model with high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Hausman test for the presence of market microstructure noise in high frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inferential Theory for Factor Models of Large Dimensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Determining the Number of Factors in Approximate Factor Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4322338 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating False Discovery Proportion Under Arbitrary Covariance Dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Covariance Estimation by Thresholding Principal Orthogonal Complements / rank
 
Normal rank
Property / cites work
 
Property / cites work: A test for the rank of the volatility process: the random perturbation approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretization of processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of integrated volatility in presence of infinite variation jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the number of common factors with high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the systematic and idiosyncratic volatility with large panel high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: ANOVA for diffusions and Itō processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large-dimensional factor modeling based on high-frequency observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: On time-varying factor models: estimation and testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing for time-varying jump activity for pure jump semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Realized Laplace Transform of Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vast volatility matrix estimation for high-frequency financial data / rank
 
Normal rank

Revision as of 16:34, 15 July 2024

scientific article
Language Label Description Also known as
English
Testing against constant factor loading matrix with large panel high-frequency data
scientific article

    Statements

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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references