A rank test for the number of factors with high-frequency data
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Publication:2000871
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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Cites work
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
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Cited in
(11)- Testing against constant factor loading matrix with large panel high-frequency data
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- On the number of common factors with high-frequency data
- Identifying latent factors based on high-frequency data
- Design-free estimation of integrated covariance matrices for high-frequency data
- A random-perturbation-based rank estimator of the number of factors
- Incorporating relative error criterion to conformal prediction for positive data
- Inference on the maximal rank of time-varying covariance matrices using high-frequency data
- Testing hypotheses about the number of factors in large factor models
- Estimating Number of Factors by Adjusted Eigenvalues Thresholding
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