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A rank test for the number of factors with high-frequency data Journal article
Kong,Xin Bing, Liu,Zhi, Zhou,Wang. A rank test for the number of factors with high-frequency data[J]. Journal of Econometrics, 2019, 211(2), 439-460.
Authors:  Kong,Xin Bing;  Liu,Zhi;  Zhou,Wang
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:9.9/6.7 | Submit date：2021/03/11
Continuous-time Factor Model  High-dimensional Itô Process  Idiosyncratic Process