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Kapitaleinkommen
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Horváth, Lajos
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Kokoszka, Piotr
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Miao, Hong
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Reimherr, Matthew
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Rice, Gregory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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Forecasting value at risk with intra-day return curves
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
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2
Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014495589
Saved in:
3
Predictability of shapes of intraday price curves
Kokoszka, Piotr
;
Reimherr, Matthew
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 285-308
Persistent link: https://www.econbiz.de/10010253641
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4
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
5
Risk analysis of cumulative intraday return curves
Kokoszka, Piotr
;
Miao, Hong
;
Stoev, Stilian
;
Zheng, Ben
- In:
Journal of time series econometrics
11
(
2019
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012022894
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6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
Cao, Ruanmin
;
Horváth, Lajos
;
Liu, Zhenya
;
Zhao, Yuqian
- In:
Review of quantitative finance and accounting
54
(
2020
)
1
,
pp. 335-358
Persistent link: https://www.econbiz.de/10012232846
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8
Time-varying beta in functional factor models : evidence from China
Horváth, Lajos
;
Li, Bo
;
Li, Hemei
;
Liu, Zhenya
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012665458
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