Functional time series approach to analyzing asset returns co-movements
Patrick W. Saart, Yingcun Xia
| Year of publication: |
2022
|
|---|---|
| Authors: | Saart, Patrick W. ; Xia, Yingcun |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 1, p. 127-151
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| Subject: | Dimension reduction | Eigenanalysis | Function data analysis | Functional time series | Model selection | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Autokorrelation | Autocorrelation | Nichtparametrisches Verfahren | Nonparametric statistics | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.11.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441838