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Inference on the maximal rank of time-varying covariance matrices using
  high-frequency data

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

1 October 2021
M. Reiß
Lars Winkelmann
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Papers citing "Inference on the maximal rank of time-varying covariance matrices using high-frequency data"

3 / 3 papers shown
Title
Non-asymptotic statistical test of the diffusion coefficient of
  stochastic differential equations
Non-asymptotic statistical test of the diffusion coefficient of stochastic differential equations
A. Melnykova
Patricia Reynaud-Bouret
Adeline M. M. Samson
16
0
0
20 Jul 2023
Factor modeling for high-dimensional time series: Inference for the
  number of factors
Factor modeling for high-dimensional time series: Inference for the number of factors
Clifford Lam
Q. Yao
64
479
0
04 Jun 2012
Estimation of the Brownian dimension of a continuous Itô process
Estimation of the Brownian dimension of a continuous Itô process
J. Jacod
A. Lejay
D. Talay
66
12
0
14 May 2008
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