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

Markus Reiß, Lars Winkelmann

We study the rank of the instantaneous or spot covariance matrix ${\Sigma }_X(t)$ of a multidimensional continuous semi-martingale $X(t)$. Given high-frequency observations $X(i/n)$, $i=0,…