Inference in functional factor models with applications to yield curves

DOI10.1111/jtsa.12642OpenAlexW4212870686MaRDI QIDQ6134635

Lajos Horváth, Piotr S. Kokoszka, Unnamed Author, Shixuan Wang

Publication date: 22 August 2023

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

Full work available at URL: https://doi.org/10.1111/jtsa.12642

zbMATH Keywords

estimationheteroscedasticitygoodness-of-fit testyield curvefunctional time seriesfunctional factor model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Point estimation (62F10) Asymptotic properties of parametric tests (62F05) Inference from stochastic processes (62Mxx)

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White noise testing for functional time series, Testing Stability in Functional Event Observations with an Application to IPO Performance

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