A test for the rank of the volatility process: The random perturbation approach
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Year
: 2013DOI: 10.1214/13-AOS1153
Keyword(s): Central limit theorem,high frequency data,homoscedasticity testing,Ito semimartingales,rank estimation,stable convergence
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A test for the rank of the volatility process: The random perturbation approach
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| contributor author | Jacod, Jean - Podolskij, Mark | |
| date accessioned | 2020-03-11T01:45:13Z | |
| date available | 2020-03-11T01:45:13Z | |
| date issued | 2013 | |
| identifier issn | 0090-5364 | |
| identifier other | euclid.aos.1383661268.pdf | |
| identifier uri | http://libsearch.um.ac.ir:80/fum/handle/fum/375381?locale-attribute=en | |
| format | general | |
| language | English | |
| publisher | The Institute of Mathematical Statistics | |
| title | A test for the rank of the volatility process: The random perturbation approach | |
| type | Journal Paper | |
| contenttype | Metadata Only | |
| identifier padid | 2414197 | |
| subject keywords | Central limit theorem | |
| subject keywords | high frequency data | |
| subject keywords | homoscedasticity testing | |
| subject keywords | Ito semimartingales | |
| subject keywords | rank estimation | |
| subject keywords | stable convergence | |
| identifier doi | 10.1214/13-AOS1153 | |
| journal title | The Annals of Statistics | |
| journal volume | 41 | |
| journal issue | 5 | |
| filesize | 377121 | |
| citations | 0 |