A rank test for the number of factors with high-frequency data

DOI10.1016/j.jeconom.2019.03.004zbMath1452.62776OpenAlexW2930817713MaRDI QIDQ2000871

Xin-Bing Kong, Wang Zhou, Zhi Liu

Publication date: 1 July 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.03.004

zbMATH Keywords

continuous-time factor modelhigh-dimensional Itô processidiosyncratic process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Estimating Number of Factors by Adjusted Eigenvalues Thresholding ⋮ High-dimensional two-sample mean vectors test and support recovery with factor adjustment ⋮ Identifying latent factors based on high-frequency data ⋮ Incorporating relative error criterion to conformal prediction for positive data ⋮ Design-free estimation of integrated covariance matrices for high-frequency data

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