Intraday forecasts of a volatility index : functional time series methods with dynamic updating
Year of publication: |
2019
|
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Authors: | Shang, Han Lin ; Yang, Yang ; Kearney, Fearghal |
Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 331-354
|
Subject: | Functional principal component regression | Functional linear regression | Ordinary least squares | Penalised least squares | High-frequency financial data | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Kleinste-Quadrate-Methode | Least squares method |
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