Testing the eigenvalue structure of spot and integrated covariance
Year of publication: |
2022
|
---|---|
Authors: | Dovonon, Prosper ; Taamouti, Abderrahim ; Williams, Julian |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 2, p. 363-395
|
Subject: | Bootstrap | Eigenvalue | Eigenvector | High frequency | Itô semimartingale | Likelihood ratio test | Principal components | Bootstrap-Verfahren | Bootstrap approach | Statistischer Test | Statistical test | Martingal | Martingale | Schätztheorie | Estimation theory |
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