Inference in functional factor models with applications to yield curves

DOI10.1111/JTSA.12642MaRDI QIDQ6134635zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Piotr Kokoszka, Shixuan Wang

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12642

zbMATH Keywords

heteroscedasticityestimationgoodness-of-fit testyield curvefunctional time seriesfunctional factor model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Asymptotic properties of parametric tests (62F05) Central limit and other weak theorems (60F05) Inference from stochastic processes (62Mxx)

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Cited in

(3)

• Functional dynamic factor models with application to yield curve forecasting
• White noise testing for functional time series
• Testing Stability in Functional Event Observations with an Application to IPO Performance

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