A rank test for the number of factors with high-frequency data (Q2000871)
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scientific article; zbMATH DE number 7075187
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| English | A rank test for the number of factors with high-frequency data |
scientific article; zbMATH DE number 7075187 |
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A rank test for the number of factors with high-frequency data (English)
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1 July 2019
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continuous-time factor model
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high-dimensional Itô process
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idiosyncratic process
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0.837399423122406
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0.8168743848800659
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0.8132983446121216
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0.8091447949409485
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0.8081046342849731
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