A test for the rank of the volatility process: the random perturbation approach
Statistics Theory
2012-12-24 v1 Statistics Theory
Abstract
In this paper 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. Finally, we demonstrate a homoscedasticity test for the rank process.
Keywords
Cite
@article{arxiv.1212.5490,
title = {A test for the rank of the volatility process: the random perturbation approach},
author = {Jean Jacod and Mark Podolskij},
journal= {arXiv preprint arXiv:1212.5490},
year = {2012}
}
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30 pages