Tang, Chen; Shi, Yanlin - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-13
Financial data (e.g., intraday share prices) are recorded almost continuously and thus take the form of a series of curves over the trading days. Those sequentially collected curves can be viewed as functional time series. When we have a large number of highly correlated shares, their intraday...