Testing the maximal rank of the volatility process for continuous diffusions observed with noise

Autor: Mark Podolskij, Tobias Fissler

Publikováno v: Bernoulli 23, no. 4B (2017), 3021-3066
Fissler, T & Podolskij, M 2014 ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Fissler, T & Podolskij, M 2017, ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ', Bernoulli, vol. 23, no. 4B, pp. 3021-3066 .

In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructur

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