Jacod, Jean; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2012
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Itô semimartingale, which opens the way for rank testing....