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Mark Podolskij, Heidelberg U. Print
Thursday, 05 December 2013, 12:15 - 13:15

Mark Podolskij, Heidelberg University

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

Abstract: In this talk we present a test for the maximal rank of the matrix-valued volatility process in the continuous Ito semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Ito semimartingale, which opens the way for rank testing. We develop the complete limit theory for the test statistic and apply it to various null and alternative hypotheses.

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