Functional data analysis for volatility

Journal of Econometrics

Volumn 165, Issue 2, 2011, Pages 233-245

  Mller, Hans Georg ^a   Sen, Rituparna ^a   Stadtmller, Ulrich ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF ULM   (Germany)

Author keywords

Diffusion model; Functional principal component; Functional regression; High frequency trading; Market returns; Prediction; Trajectories of volatility; Volatility process

Indexed keywords

DIFFUSION MODEL; FUNCTIONAL REGRESSION; HIGH FREQUENCY; MARKET RETURNS; PRINCIPAL COMPONENTS; VOLATILITY PROCESS;

COMMERCE; DATA REDUCTION; ECONOMIC ANALYSIS; FINANCIAL DATA PROCESSING; FORECASTING;

PRINCIPAL COMPONENT ANALYSIS;

EID: 80054688506     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.08.002     Document Type: Article

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