Inference in functional factor models with applications to yield curves

DOI10.1111/JTSA.12642OpenAlexW4212870686MaRDI QIDQ6134635FDOQ6134635

Lajos Horváth, Piotr Kokoszka, Author name not available (Why is that?), Shixuan Wang

Publication date: 22 August 2023

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

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)

Cites Work

• Title not available (Why is that?)
• Forecasting the term structure of government bond yields
• Functional data analysis.
• Inference for functional data with applications
• Some Limit Theorems for Stationary Processes
• Break detection in the covariance structure of multivariate time series models
• Asymptotic spectral theory for nonlinear time series
• White noise testing and model diagnostic checking for functional time series
• A note on the Nelson-Siegel family
• A functional version of the ARCH model
• Introduction to Functional Data Analysis
• Nonlinear system theory: Another look at dependence
• Weakly dependent functional data
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Functional dynamic factor models with application to yield curve forecasting
• Adaptive bandwidth choice
• Estimation of the Mean of Functional Time Series and a Two-Sample Problem
• An arbitrage‐free generalized Nelson–Siegel term structure model
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series
• Testing for structural change under non‐stationary variances
• Change point tests in functional factor models with application to yield curves

Cited In (3)

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

This page was built for publication: Inference in functional factor models with applications to yield curves

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6134635)