A rank test for the number of factors with high-frequency data
Xin-Bing Kong, Zhi Liu, Wang Zhou
| Year of publication: |
2019
|
|---|---|
| Authors: | Kong, Xin-Bing ; Liu, Zhi ; Zhou, Wang |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 211.2019, 2, p. 439-460
|
| Subject: | Continuous-time factor model | High-dimensional Itô process | Idiosyncratic process | Theorie | Theory | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | CAPM | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.03.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303820