A test for the rank of the volatility process: The random perturbation approach

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

    Jean Jacod, Institut de Mathématiques de Jussieu, France
  • Mark Podolskij
Original languageEnglish
JournalAnnals of Statistics
Volume41
Issue number5
Pages (from-to)2391-2427
Number of pages37
ISSN0090-5364
DOIs
Publication statusPublished - 1 Oct 2013

    Research areas

  • Central limit theorem, High frequency data, Homoscedasticity testing, Itô semimartingales, Rank estimation, Stable convergence

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ID: 79221065