A rank test for the number of factors with high-frequency data
DOI10.1016/J.JECONOM.2019.03.004zbMATH Open1452.62776OpenAlexW2930817713MaRDI QIDQ2000871FDOQ2000871
Xin-Bing Kong, Wang Zhou, Zhi Liu
Publication date: 1 July 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.03.004
continuous-time factor model[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=high-dimensional+It%EF%BF%BD%EF%BF%BD+process&go=Go high-dimensional It�� process]idiosyncratic process
Factor analysis and principal components; correspondence analysis (62H25) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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Cited In (5)
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- Incorporating relative error criterion to conformal prediction for positive data
- Identifying latent factors based on high-frequency data
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding
- Design-free estimation of integrated covariance matrices for high-frequency data
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