Tests for conditional heteroscedasticity of functional data

DOI10.1111/jtsa.12532zbMath1458.62325OpenAlexW3024323843MaRDI QIDQ5135320

Tony S. Wirjanto, Gregory Rice, Yuqian Zhao

Publication date: 20 November 2020

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

Full work available at URL: https://doi.org/10.1111/jtsa.12532

zbMATH Keywords

functional time seriesheteroscedasticity testingmodel diagnostic checkinghigh-frequency volatility modelsintra-day asset price

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Economic time series analysis (91B84)

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