Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Han Lin Shang, Kaiying Ji
| 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
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| Subject: | function-on-function linear regression | functional principal component analysis | high-frequency financial data | penalized least squares | vector autoregressive model | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Finanzmarkt | Financial market |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3000 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014432826