Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Year of publication: |
2023
|
---|---|
Authors: | Shang, Han Lin ; Ji, Kaiying |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 8, p. 1973-1988
|
Subject: | function-on-function linear regression | functional principal component analysis | high-frequency financial data | penalized least squares | vector autoregressive model | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Finanzmarkt | Financial market | VAR-Modell | VAR model |
-
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas, (2023)
-
Forecasting mortality with a hyperbolic spatial temporal VAR model
Feng, Lingbing, (2021)
-
Multivariate functional time series forecasting : application to age-specific mortality rates
Gao, Yuan, (2017)
- More ...
-
Granger causality of bivariate stationary curve time series
Shang, Han Lin, (2020)
-
Better Late than Never, the Timing of Goodwill Impairment Testing in Australia
Ji, Kaiying, (2013)
-
Better late than never, the timing of goodwill impairment testing in Australia
Ji, Kaiying, (2013)
- More ...