Inference in functional factor models with applications to yield curves

DOI10.1111/JTSA.12642OpenAlexW4212870686MaRDI QIDQ6134635FDOQ6134635

Authors: Lajos Horváth, Piotr Kokoszka, 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

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• Title not available (Why is that?)
• Adaptive bandwidth choice
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• 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

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