Functional data analysis for volatility

DOI10.1016/j.jeconom.2011.08.002zbMath1441.62817OpenAlexW2105103619MaRDI QIDQ738082

Ulrich Stadtmüller, Rituparna Sen, Hans-Georg Müller

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.08.002

zbMATH Keywords

predictiondiffusion modelfunctional regressionhigh frequency tradingfunctional principal componentmarket returnstrajectories of volatilityvolatility process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Density estimation (62G07) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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Uses Software

• fda (R)

Cites Work

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