Testing against constant factor loading matrix with large panel high-frequency data
Year of publication: |
June 2018
|
---|---|
Authors: | Kong, Xin-bing ; Liu, Cheng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 204.2018, 2, p. 301-319
|
Subject: | Continuous-time factor model | Factor loading matrix | High dimensional itô process | Theorie | Theory | Faktorenanalyse | Factor analysis | Panel | Panel study | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test |
-
A rank test for the number of factors with high-frequency data
Kong, Xin-Bing, (2019)
-
Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem, (2010)
-
Econometric analysis of high dimensional VARS featuring a dominant unit
Chudik, Alexander, (2013)
- More ...
-
Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
Jing, Bing-Yi, (2011)
-
Kong, Xin-Bing, (2013)
-
On the jump activity index for semimartingales
Jing, Bing-Yi, (2012)
- More ...