Testing against constant factor loading matrix with large panel high-frequency data

DOI10.1016/J.JECONOM.2018.03.001zbMath1452.62312OpenAlexW2793183553WikidataQ130087268 ScholiaQ130087268MaRDI QIDQ1753061

Xin-Bing Kong, Cheng Liu

Publication date: 25 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.001

zbMATH Keywords

continuous-time factor modelfactor loading matrixhigh-dimensional Itô process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (6)

High-dimensional two-sample mean vectors test and support recovery with factor adjustment ⋮ Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional data ⋮ Identifying latent factors based on high-frequency data ⋮ Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data ⋮ Testing for time-varying factor loadings in high-dimensional factor models

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