Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Year of publication: |
2021
|
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Authors: | Reiß, Markus ; Winkelmann, Lars |
Publisher: |
Berlin : Freie Universität Berlin, School of Business & Economics |
Subject: | empirical covariance matrix | rank detection | signal detection rate | matrix concentration | eigenvalue perturbation | principal component analysis | factor model | term structure |
Series: | Discussion Paper ; 2021/14 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.17169/refubium-32210 [DOI] 177616220X [GVK] hdl:10419/246077 [Handle] RePEc:zbw:fubsbe:202114 [RePEc] |
Source: |
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
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