Intraday forecasts of a volatility index: functional time series methods with dynamic updating
type: Item
instance of: scholarly article
title: Intraday forecasts of a volatility index: functional time series methods with dynamic updating
zbMATH Open document ID: 1434.62196
author: Han Lin Shang
author: Yang Yang
author: Fearghal Kearney
published in: Annals of Operations Research
publication date: 2020-01-20T00:00:00Z
full work available at URL: https://arxiv.org/abs/1812.00096
full work available at URL: intraday-forecasts-of-a-volatility-index-functional-time-series-methods-with-dynamic-updating(5ae2c9ea-eef4-48f1-b9bb-3335710bf464).html
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 7153561
zbMATH Keywords: functional principal component regression
zbMATH Keywords: functional linear regression
zbMATH Keywords: ordinary least squares
zbMATH Keywords: penalised least squares
zbMATH Keywords: high-frequency financial data
describes a project that uses: forecast
describes a project that uses: Rainbow
describes a project that uses: Forecast
describes a project that uses: meboot
describes a project that uses: R
describes a project that uses: fda (R)
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2902784710
arXiv ID: 1812.00096
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Wikidata QID: Q128830736
DOI: 10.1007/S10479-018-3108-4
description: scientific article