Functional dynamic factor model for intraday price curves
Year of publication: |
2015
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Authors: | Kokoszka, Piotr ; Miao, Hong ; Zhang, Xi |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 2, p. 456-477
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Subject: | functional factor model | intraday price curves | oil futures | Theorie | Theory | Faktorenanalyse | Factor analysis | Volatilität | Volatility | Börsenkurs | Share price | Ölpreis | Oil price | Schätzung | Estimation |
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