A Test for the Rank of the Volatility Process: The Random Perturbation Approach
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References listed on IDEAS
- Mark Podolskij & Mathieu Rosenbaum, 2012.
"Testing the local volatility assumption: a statistical approach,"
Annals of Finance,
Springer, vol. 8(1), pages 31-48, February.
- Mark Podolskij & Mathieu Rosenbaum, 2011. "Testing the local volatility assumption: a statistical approach," CREATES Research Papers 2011-04, Department of Economics and Business Economics, Aarhus University.
- Mathias Vetter, 2012. "Estimation of Correlation for Continuous Semimartingales," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(4), pages 757-771, December.
- Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, vol. 16(02), pages 151-175, April.
- Jacod, Jean, 2008. "Asymptotic properties of realized power variations and related functionals of semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 517-559, April.
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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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Keywordscentral limit theorem; high frequency data; homoscedasticity testing; Ito semimartingales; rank estimation; stable convergence;
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