Intraday forecasts of a volatility index: functional time series methods with dynamic updating (Q2288944)
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scientific article
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| English | Intraday forecasts of a volatility index: functional time series methods with dynamic updating |
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Intraday forecasts of a volatility index: functional time series methods with dynamic updating (English)
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20 January 2020
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functional principal component regression
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functional linear regression
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ordinary least squares
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penalised least squares
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high-frequency financial data
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0.8232387900352478
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0.7541316151618958
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0.7281367778778076
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0.7242337465286255
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