Testing for symmetric correlation matrices with applications to factor models

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

Cites Work

Factor modeling for high-dimensional time series: inference for the number of factors
The asymptotic distribution of serial covariances
Estimating the dimension of a model
Resampling methods for dependent data
The jackknife and the bootstrap for general stationary observations
The control of the false discovery rate in multiple testing under dependency.
Bootstraps for time series
Testing serial correlations in high-dimensional time series via extreme value theory
Nonstationary dynamic factor analysis
The use of factor analysis in the statistical analysis of multiple time series
Estimation of latent factors for high-dimensional time series
Statistical Learning for Big Dependent Data
Testing Hypotheses About the Number of Factors in Large Factor Models
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Funds, Factors, and Diversification in Arbitrage Pricing Models
Identifying a Simplifying Structure in Time Series
Asymptotic covariance structure of serial correlations in multivariate time series
CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS
On blocking rules for the bootstrap with dependent data
Testing for high-dimensional white noise using maximum cross-correlations
Determining the Number of Factors in Approximate Factor Models
The Generalized Dynamic Factor Model
Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
The impact of bootstrap methods on time series analysis
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