Functional prediction of intraday cumulative returns

DOI10.1177/1471082X1201200404MaRDI QIDQ4970962zbMATH OpenFDO

Authors

Publication date 8 October 2020

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082X1201200404

zbMATH Keywords

functional linear predictionintraday returns

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Inference and Prediction in Large Dimensions
• Inference for functional data with applications
• Linear processes in function spaces. Theory and applications
• Making and evaluating point forecasts
• Nonparametric functional data analysis. Theory and practice.
• On consistency and sparsity for principal components analysis in high dimensions
• Portmanteau Test of Independence for Functional Observations
• Statistics and Data Analysis for Financial Engineering
• The Fitting of Time-Series Models
• Weakly dependent functional data

Cited in

(10)

• Bootstrap methods for stationary functional time series
• Nonparametric regression for locally stationary functional time series
• Risk analysis of cumulative intraday return curves
• Predictability of shapes of intraday price curves
• Long-range dependent curve time series
• Scalable multiple changepoint detection for functional data sequences
• Elastic functional changepoint detection of climate impacts from localized sources
• Dependence-Based Fuzzy Clustering of Functional Time Series
• Continuously indexed graphical models
• On changepoint detection in functional data using empirical energy distance

Describes a project that uses

Uses Software

• FinTS
• fda (R)

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