predictionfunctional regressiondiffusion modelhigh frequency tradingfunctional principal componentmarket returnstrajectories of volatilityvolatility process
Density estimation (62G07) Factor analysis and principal components; correspondence analysis (62H25) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)
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Cites work
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- A Fourier transform method for nonparametric estimation of multivariate volatility
- A Tale of Two Time Scales
- A selective overview of nonparametric methods in financial econometrics
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Effect of mean on variance function estimation in nonparametric regression
- Efficient estimation of conditional variance functions in stochastic regression
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Functional Data Analysis for Sparse Longitudinal Data
- Functional Variance Processes
- Functional data analysis
- Functional data analysis of the dynamics of the monthly index of nondurable goods production.
- Functional linear regression analysis for longitudinal data
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Nonparametric prediction for the time-dependent volatility of the security price
- On estimating the diffusion coefficient from discrete observations
- Principal Modes of Variation for Processes with Continuous Sample Curves
- Regression Analysis for a Functional Response
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Shrinkage estimation for functional principal component scores with application to the population kinetics of plasma folate
- Spot volatility estimation for high-frequency data
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
- The historical functional linear model
- The pricing of options and corporate liabilities
- Ultra high frequency volatility estimation with dependent microstructure noise
Cited in
(29)- scientific article; zbMATH DE number 1916979 (Why is no real title available?)
- KPSS test for functional time series
- Intraday Periodic Volatility Curves
- Inference on volatility curve at high frequencies via functional data analysis
- Testing stationarity of functional time series
- Regularised forecasting via smooth-rough partitioning of the regression coefficients
- Time series of functional data with application to yield curves
- An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
- An autocovariance-based learning framework for high-dimensional functional time series
- Functional lagged regression with sparse noisy observations
- Bayesian functional data modeling for heterogeneous volatility
- Forecasting intraday S\&P 500 index returns: a functional time series approach
- On consistency and sparsity for high-dimensional functional time series with application to autoregressions
- Testing for independence between functional time series
- A nonparametric estimator for the covariance function of functional data
- Continuously dynamic additive models for functional data
- Structural change in volatility in China's stock market: a functional data analysis
- Inference for the lagged cross-covariance operator between functional time series
- Liquidity fluctuations and the latent dynamics of price impact
- Optimal eigen expansions and uniform bounds
- Supervised dimension reduction for functional time series
- Splines for financial volatility
- Functional time series approach to analyzing asset returns co-movements
- Intraday forecasts of a volatility index: functional time series methods with dynamic updating
- Bagging-enhanced sampling schedule for functional quadratic regression
- Functional sufficient dimension reduction through information maximization with application to classification
- Monitoring the intraday volatility pattern
- Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes
- Dynamic single-index model for functional data
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