A rank test for the number of factors with high-frequency data (Q2000871)
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scientific article; zbMATH DE number 7075187
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A rank test for the number of factors with high-frequency data |
scientific article; zbMATH DE number 7075187 |
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A rank test for the number of factors with high-frequency data (English)
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1 July 2019
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continuous-time factor model
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high-dimensional Itô process
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idiosyncratic process
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