A Test for the Rank of the Volatility Process: The Random Perturbation Approach
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- Nien-Lin Liu & Hoang-Long Ngo, 2014. "Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis," Papers 1409.2214, arXiv.org.
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Keywords
central limit theorem; high frequency data; homoscedasticity testing; Ito semimartingales; rank estimation; stable convergence;All these keywords.
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