Availability: Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Inference on the maximal rank of time-varying covariance matrices using high-frequency data:

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Bibliographic Details
Main Authors:	Reiß, Markus 1973- (Author), Winkelmann, Lars (Author)
Format:	Electronic eBook
Language:	English
Published:	Berlin Freie Universität Berlin [2021]
Series:	Discussion paper / Freie Universität Berlin, School of Business & Economics Economics 2021, 14
Subjects:	empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix Hauptkomponentenanalyse Eigenwert Störungstheorie
Links:	https://refubium.fu-berlin.de/handle/fub188/32485
Physical Description:	1 Online-Ressource (36 Seiten) Diagramme

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publisher	Freie Universität Berlin
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series2	Discussion paper / Freie Universität Berlin, School of Business & Economics Economics
spelling	Reiß, Markus 1973- (DE-588)123917565 aut Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann Berlin Freie Universität Berlin [2021] 1 Online-Ressource (36 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Discussion paper / Freie Universität Berlin, School of Business & Economics 2021, 14 Economics empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix (DE-588)4165403-1 gnd rswk-swf Hauptkomponentenanalyse (DE-588)4129174-8 gnd rswk-swf Eigenwert (DE-588)4151200-5 gnd rswk-swf Störungstheorie (DE-588)4128420-3 gnd rswk-swf Kovarianzmatrix (DE-588)4165403-1 s Hauptkomponentenanalyse (DE-588)4129174-8 s Eigenwert (DE-588)4151200-5 s Störungstheorie (DE-588)4128420-3 s DE-188 Winkelmann, Lars (DE-588)1222930463 aut Freie Universität Berlin, School of Business & Economics Discussion paper 2021, 14 : Economics (DE-604)BV026641400 2021,14 https://refubium.fu-berlin.de/handle/fub188/32485 Resolving-System kostenfrei Volltext
spellingShingle	Reiß, Markus 1973- Winkelmann, Lars Inference on the maximal rank of time-varying covariance matrices using high-frequency data empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix (DE-588)4165403-1 gnd Hauptkomponentenanalyse (DE-588)4129174-8 gnd Eigenwert (DE-588)4151200-5 gnd Störungstheorie (DE-588)4128420-3 gnd
subject_GND	(DE-588)4165403-1 (DE-588)4129174-8 (DE-588)4151200-5 (DE-588)4128420-3
title	Inference on the maximal rank of time-varying covariance matrices using high-frequency data
title_auth	Inference on the maximal rank of time-varying covariance matrices using high-frequency data
title_exact_search	Inference on the maximal rank of time-varying covariance matrices using high-frequency data
title_full	Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann
title_fullStr	Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann
title_full_unstemmed	Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann
title_short	Inference on the maximal rank of time-varying covariance matrices using high-frequency data
title_sort	inference on the maximal rank of time varying covariance matrices using high frequency data
topic	empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix (DE-588)4165403-1 gnd Hauptkomponentenanalyse (DE-588)4129174-8 gnd Eigenwert (DE-588)4151200-5 gnd Störungstheorie (DE-588)4128420-3 gnd
topic_facet	empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix Hauptkomponentenanalyse Eigenwert Störungstheorie
url	https://refubium.fu-berlin.de/handle/fub188/32485
volume_link	(DE-604)BV026641400
work_keys_str_mv	AT reißmarkus inferenceonthemaximalrankoftimevaryingcovariancematricesusinghighfrequencydata AT winkelmannlars inferenceonthemaximalrankoftimevaryingcovariancematricesusinghighfrequencydata

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