Title:
Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Author(s):
Reiss, Markus; Winkelmann, Lars
Year of publication:
2021
Available Date:
2021-11-03T12:40:17Z
Keywords:
empirical covariance matrix
rank detection
signal detection rate
matrix concentration
eigenvalue perturbation
principal component analysis
factor model
term structure
DDC-Classification:
339 Makroökonomie und verwandte Themen
Department/institution:
Wirtschaftswissenschaft
Series/Multivolume:
Discussion paper / School of Business & Economics
Series/Multivolume Number:
2021,14 : Economics
