Risk analysis of cumulative intraday return curves

DOI10.1515/jtse-2018-0011OpenAlexW2897738358WikidataQ129088871 ScholiaQ129088871MaRDI QIDQ2417028

Ben Zheng, Hong Miao, Stilian A. Stoev, Piotr S. Kokoszka

Publication date: 11 June 2019

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

Full work available at URL: https://doi.org/10.1515/jtse-2018-0011

zbMATH Keywords

risk measuresfunctional dataextremescumulative intraday returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Functional spherical autocorrelation: a robust estimate of the autocorrelation of a functional time series

Uses Software

• fda (R)

Cites Work

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