Functional prediction of intraday cumulative returns

DOI10.1177/1471082X1201200404MaRDI QIDQ4970962

No author found.

Publication date: 8 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

zbMATH Keywords

intraday returnsfunctional linear prediction

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Nonparametric regression for locally stationary functional time series ⋮ Bootstrap methods for stationary functional time series ⋮ Long-Range Dependent Curve Time Series

Uses Software

• fda (R)
• FinTS

Cites Work

• Unnamed Item
• Unnamed Item
• Making and Evaluating Point Forecasts
• Portmanteau Test of Independence for Functional Observations
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Inference for functional data with applications
• Weakly dependent functional data
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Linear processes in function spaces. Theory and applications
• Applied functional data analysis. Methods and case studies
• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Empirical properties of forecasts with the functional autoregressive model
• Statistics and Data Analysis for Financial Engineering
• The Fitting of Time-Series Models
• Functional Data Analysis with R and MATLAB
• Forecasting Performance of Nonlinear Models for Intraday Stock Returns
• On Consistency and Sparsity for Principal Components Analysis in High Dimensions
• Inference and Prediction in Large Dimensions
• Analysis of Financial Time Series
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms

This page was built for publication: Functional prediction of intraday cumulative returns