Testing against constant factor loading matrix with large panel high-frequency data
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Cites work
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Cited in
(12)- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Identifying latent factors based on high-frequency data
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
- Testing for time-varying factor loadings in high-dimensional factor models
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