Forecasting intraday S&P 500 index returns: A functional time series approach

DOI10.1002/for.2467zbMath1397.62572OpenAlexW3121226762MaRDI QIDQ4687632

Han Lin Shang

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2467

zbMATH Keywords

ridge regressionlinear regressionordinary least squaresprincipal component regressiondynamic updatingpenalize least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07) Asymptotic properties of parametric tests (62F05)

Related Items (4)

Forecasting functional time series using weighted likelihood methodology ⋮ Improvement of the nonparametric estimation of functional stationary time series using Yeo-Johnson transformation with application to temperature curves ⋮ A bootstrap-based KPSS test for functional time series ⋮ Intraday forecasts of a volatility index: functional time series methods with dynamic updating

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