Functional time series approach to analyzing asset returns co-movements
Year of publication: |
2022
|
---|---|
Authors: | Saart, Patrick W. ; Xia, Yingcun |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 1, p. 127-151
|
Subject: | Dimension reduction | Eigenanalysis | Function data analysis | Functional time series | Model selection | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory |
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