Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index
Eduardo Horta, Flavio Ziegelmann
| Year of publication: |
2018
|
|---|---|
| Authors: | Horta, Eduardo ; Ziegelmann, Flávio A. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 1, p. 75-88
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| Subject: | Stochastic processes | Autocovariance | Dimension reduction | High frequency data | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Aktienindex | Stock index | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2017.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012030843