Functional data analysis for volatility
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Publication:738082
DOI10.1016/J.JECONOM.2011.08.002zbMATH Open1441.62817OpenAlexW2105103619MaRDI QIDQ738082FDOQ738082
Authors: Rituparna Sen, Ulrich Stadtmüller, Hans-Georg Müller 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.08.002
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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)
Cites Work
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Cited In (29)
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- KPSS test for functional time series
- Intraday Periodic Volatility Curves
- Inference on volatility curve at high frequencies via functional data analysis
- Time series of functional data with application to yield curves
- Testing stationarity of functional time series
- An autocovariance-based learning framework for high-dimensional functional time series
- Regularised forecasting via smooth-rough partitioning of the regression coefficients
- Functional lagged regression with sparse noisy observations
- An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
- Forecasting intraday S\&P 500 index returns: a functional time series approach
- Bayesian functional data modeling for heterogeneous volatility
- 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
- Supervised dimension reduction for functional time series
- Optimal eigen expansions and uniform bounds
- 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
- Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes
- Monitoring the intraday volatility pattern
- Dynamic single-index model for functional data
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