Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Year of publication: |
2014-12-10
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Authors: | Fissler, Tobias ; Podolskij, Mark |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | continuous Itô semimartingales | high frequency data | microstructure noise | rank testing | stable convergence |
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