Functional time series approach to analyzing asset returns co-movements

DOI10.1016/J.JECONOM.2020.11.012OpenAlexW3151858000MaRDI QIDQ2673199

Yingcun Xia, Patrick W. Saart

Publication date: 9 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.11.012

zbMATH Keywords

model selectiondimension reductioneigenanalysisfunctional time seriesfunction data analysis

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Asymmetric conditional correlations in stock returns
• Identifying the finite dimensionality of curve time series
• Functional data analysis for volatility
• Common functional principal components
• Nonlinear time series. Nonparametric and parametric methods
• Assessing the Finite Dimensionality of Functional Data
• Semi-Parametric Modelling of Correlation Dynamics
• Factor Model Forecasts of Exchange Rates
• Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
• Selecting the Number of Principal Components in Functional Data
• On Properties of Functional Principal Components Analysis
• Determining the Number of Factors in Approximate Factor Models
• Functional Data Analysis for Sparse Longitudinal Data

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