Testing the eigenvalue structure of spot and integrated covariance

DOI10.1016/j.jeconom.2021.02.006OpenAlexW3137982218MaRDI QIDQ2155301

Prosper Dovonon, Abderrahim Taamouti, Julian S. Williams

Publication date: 15 July 2022

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.02.006

zbMATH Keywords

bootstrapeigenvaluelikelihood ratio testeigenvectorprincipal componentshigh frequencyItô semimartingale

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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