Functional modelling of volatility in the Swedish limit order book

DOI10.1016/J.CSDA.2008.01.008zbMATH Open1453.62085OpenAlexW2005645899MaRDI QIDQ961406FDOQ961406

Authors: Suad Elezović 

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.01.008

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Functional data analysis
• Nonparametric functional data analysis. Theory and practice.
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Title not available (Why is that?)
• Statistics for functional data
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
• Title not available (Why is that?)
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• The impact of general non-parametric volatility functions in multivariate GARCH models
• Depth-based inference for functional data
• An analysis of price impact function in order-driven markets

Cited In (2)

• Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
• A functional version of the ARCH model

Uses Software

• R
• fda (R)

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