Testing against constant factor loading matrix with large panel high-frequency data
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Publication:1753061
DOI10.1016/j.jeconom.2018.03.001zbMath1452.62312OpenAlexW2793183553MaRDI QIDQ1753061
Publication date: 25 May 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.001
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
Related Items (6)
High-dimensional two-sample mean vectors test and support recovery with factor adjustment ⋮ Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional 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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