Testing against the constancy of large dimensional factor loading matrix with high frequency data

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：ghostKill1

【摘要】

：

In this paper,we introduce a nonparametric test against the constancy of the factor loading matrix of large dimensional continuous time factor model using high frequency data.

【作者】

：

Kong Xin-Bing Liu Cheng

【机构】

：

Soochow University,215006,PRC

【出处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Continuous time factor model High dimensional Ito process Factor loading process

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　　In this paper,we introduce a nonparametric test against the constancy of the factor loading matrix of large dimensional continuous time factor model using high frequency data.

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Testing against the constancy of large dimensional factor loading matrix with high frequency data

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