A test for the rank of the volatility process: the random perturbation approach
Year of publication: |
2012-12-14
|
---|---|
Authors: | Jacod, Jean ; Podolskij, Mark |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | central limit theorem | high frequency data | homoscedasticity testing | Itô semimartingales | rank estimation | stable convergence |
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