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Mark Podolskij

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

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A test for the rank of the volatility process : The random perturbation approach. / Jacod, Jean; Podolskij, Mark.

In: Annals of Statistics, Vol. 41, No. 5, 01.10.2013, p. 2391-2427.

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Jacod, Jean ; Podolskij, Mark. / A test for the rank of the volatility process : The random perturbation approach. In: Annals of Statistics. 2013 ; Vol. 41, No. 5. pp. 2391-2427.

Bibtex

@article{450afb1d79f34b3b896261aea3048bd6,
title = "A test for the rank of the volatility process: The random perturbation approach",
keywords = "Central limit theorem, High frequency data, Homoscedasticity testing, It{\^o} semimartingales, Rank estimation, Stable convergence",
author = "Jean Jacod and Mark Podolskij",
year = "2013",
month = "10",
day = "1",
doi = "10.1214/13-AOS1153",
language = "English",
volume = "41",
pages = "2391--2427",
journal = "Annals of Statistics",
issn = "0090-5364",
publisher = "Institute of Mathematical Statistics",
number = "5",

}

RIS

TY - JOUR

T1 - A test for the rank of the volatility process

T2 - The random perturbation approach

AU - Jacod, Jean

AU - Podolskij, Mark

PY - 2013/10/1

Y1 - 2013/10/1

KW - Central limit theorem

KW - High frequency data

KW - Homoscedasticity testing

KW - Itô semimartingales

KW - Rank estimation

KW - Stable convergence

U2 - 10.1214/13-AOS1153

DO - 10.1214/13-AOS1153

M3 - Journal article

AN - SCOPUS:84888884520

VL - 41

SP - 2391

EP - 2427

JO - Annals of Statistics

JF - Annals of Statistics

SN - 0090-5364

IS - 5

ER -