A functional version of the ARCH model
From MaRDI portal
Abstract: Improvements in data acquisition and processing techniques have lead to an almost continuous flow of information for financial data. High resolution tick data are available and can be quite conveniently described by a continuous time process. It is therefore natural to ask for possible extensions of financial time series models to a functional setup. In this paper we propose a functional version of the popular ARCH model. We will establish conditions for the existence of a strictly stationary solution, derive weak dependence and moment conditions, show consistency of the estimators and perform a small empirical study demonstrating how our model matches with real data.
Recommendations
- Functional generalized autoregressive conditional heteroskedasticity
- Functional GARCH models: the quasi-likelihood approach and its applications
- ARCH modeling in finance. A review of the theory and empirical evidence
- Tests for conditional heteroscedasticity of functional data
- scientific article; zbMATH DE number 1839589
Cites work
- A Tale of Two Time Scales
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Curve forecasting by functional autoregression
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Functional modelling of volatility in the Swedish limit order book
- Functional quadratic regression
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- Iterated Random Functions
- Limit theorems for iterated random functions
- Microstructure noise in the continuous case: the pre-averaging approach
- Multivariate GARCH Models
- Sequentiel testing for the stability of high-frequency portfolio betas
- Weakly dependent functional data
Cited in
(60)- Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis
- Adaptive bandwidth selection in the long run covariance estimator of functional time series
- Locally stationary functional time series
- High-dimensional functional time series forecasting: an application to age-specific mortality rates
- Functional GARCH models: the quasi-likelihood approach and its applications
- Dependent functional data
- Testing for periodicity in functional time series
- Resolvent estimators for functional autoregressive processes with random coefficients
- Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
- Dynamic partially functional linear regression model
- Functional ARCH and GARCH models: a Yule-Walker approach
- On the ARCH model with stationary liquidity
- Intraday forecasts of a volatility index: functional time series methods with dynamic updating
- Functional coefficient autoregressive conditional root model
- Testing stationarity of functional time series
- Extensions of some classical methods in change point analysis
- White noise testing and model diagnostic checking for functional time series
- Testing serial independence with functional data
- Testing equality of means when the observations are from functional time series
- Functional generalized autoregressive conditional heteroskedasticity
- Convolutional autoregressive models for functional time series
- Conditional estimation for dependent functional data
- Detecting changes in functional linear models
- Rates of convergence of autocorrelation estimates for periodically correlated autoregressive Hilbertian processes
- On random processes as an implicit solution of equations.
- An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
- Mixing conditions of conjugate processes
- Seasonal functional autoregressive models
- Volatility asymmetry in functional threshold GARCH model
- Tests for conditional heteroscedasticity of functional data
- A note on estimation in Hilbertian linear models
- Estimation in functional lagged regression
- A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series
- Cointegration in functional autoregressive processes
- COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES
- Inference in functional factor models with applications to yield curves
- Factor models for high‐dimensional functional time series I: Representation results
- White noise testing for functional time series
- Coupled GARCH(1,1) model
- Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
- The scalar-on-function modal regression for functional time series data
- Trend filtering for functional data
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- Functional horseshoe smoothing for functional trend estimation
- A review study of functional autoregressive models with application to energy forecasting
- Detection and estimation of structural breaks in high-dimensional functional time series
- Projection-based white noise and goodness-of-fit tests for functional time series
- Supervised dimension reduction for functional time series
- Estimating invertible processes in Hilbert spaces, with applications to functional ARMA processes
- Factor models for high-dimensional functional time series
- On the estimation of invertible functional time series
- Change point detection for the intraday volatility using functional ARCH and conditional Copula
- Seasonal periodic autoregressive processes with values in Hilbert spaces
- Estimating lagged (cross-)covariance operators of L^p-m-approximable processes in Cartesian product Hilbert spaces
- The Granger-Johansen representation theorem for integrated time series on Banach space
- Functional diffusion driven stochastic volatility model
- Functional data analysis for volatility
- The ARHD model
- Simultaneous inference of the mean of functional time series
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity
This page was built for publication: A functional version of the ARCH model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2847583)
