Monitoring the intraday volatility pattern

DOI10.1515/jtse-2012-0006zbMath1462.62719OpenAlexW1967827359MaRDI QIDQ1695559

Robertas Gabrys, Siegfried Hörmann, Piotr S. Kokoszka

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2012-0006

zbMATH Keywords

functional data analysissequential analysischange point detectionintraday volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Optimal eigen expansions and uniform bounds ⋮ Testing for independence between functional time series ⋮ Locally stationary functional time series ⋮ The effect of intraday periodicity on realized volatility measures ⋮ Testing stationarity of functional time series ⋮ COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES

Uses Software

• fda (R)

Cites Work

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