Time Series Modelling With Semiparametric Factor Dynamics
From MaRDI portal
Publication:5256125
DOI10.1198/jasa.2009.0105zbMath1388.62264OpenAlexW2133904844MaRDI QIDQ5256125
Byeong U. Park, Enno Mammen, Szymon Borak, Wolfgang Karl Härdle
Publication date: 22 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-023.pdf
semiparametric modelsfactor modelsvector autoregressive processasymptotic inferenceimplied volatility surface
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
Related Items
A semiparametric factor model for CDO surfaces dynamics, Simultaneous Statistical Inference in Dynamic Factor Models, Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors, Implied basket correlation dynamics, Portfolio decisions and brain reactions via the CEAD method, Robust sieve M-estimation with an application to dimensionality reduction, Empirical likelihood inference for generalized additive partially linear models, Modeling and forecasting electricity spot prices: a functional data perspective, Statistical inference for generalized additive partially linear models, Dynamic semi-parametric factor model for functional expectiles, Projection-type estimation for varying coefficient regression models, Estimation of spatio-temporal extreme distribution using a quantile factor model, Nonparametric estimation of noisy integral equations of the second kind, Flexible generalized varying coefficient regression models, Mortality forecasting using factor models: time-varying or time-invariant factor loadings?, Dynamic semiparametric factor models in risk neutral density estimation, Projected principal component analysis in factor models, Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships, Editorial to the special issue on applicable semiparametrics of computational statistics, On time-varying factor models: estimation and testing, Modelling spatio-temporal variability of temperature, Model-driven statistical arbitrage on LETF option markets, Risk patterns and correlated brain activities. Multidimensional statistical analysis of fMRI data in economic decision making study, Discussion: Nonparametric estimation of noisy integral equations of the second kind
