Intraday forecasts of a volatility index : functional time series methods with dynamic updating
Han Lin Shang, Yang Yang, Fearghal Kearney
| Year of publication: |
2019
|
|---|---|
| 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
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| Subject: | Functional principal component regression | Functional linear regression | Ordinary least squares | Penalised least squares | High-frequency financial data | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3108-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012160005