Functional dynamic factor model for intraday price curves
| dc.contributor.author | Kokoszka, Piotr, author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Zhang, Xi, author | |
| dc.contributor.author | Journal of Financial Econometrics, publisher | |
| dc.date.accessioned | 2020-05-18T22:28:08Z | |
| dc.date.available | 2020-05-18T22:28:08Z | |
| dc.date.issued | 2015-02-21 | |
| dc.description | Includes bibliographical references (pages 21-23). | |
| dc.description | Published as: Journal of Financial Econometrics, vol. 13, no. 2, pp. 456-477, 2015, https://doi.org/10.1093/jjfinec/nbu004. | |
| dc.description.abstract | This article proposes a functional dynamic factor model for the evaluation of the impact of scalar– and curve–valued factors on the shapes of intraday price curves. The asymptotic theory leads to practically useful confidence intervals for the factor coefficients. The main findings pertain to the impact of the shapes of intraday oil futures on the shapes of intraday prices of blue chip stocks. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Kokoszka, P., Miao, H., & Zhang, X. (2015). Functional Dynamic Factor Model for Intraday Price Curves. Journal of Financial Econometrics, 13(2), 456–477. https://doi.org/10.1093/jjfinec/nbu004 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206889 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©The Author, 2014. Published by Oxford University Press. All rights reserved. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | functional factor model | |
| dc.subject | intraday price curves | |
| dc.subject | oil futures | |
| dc.title | Functional dynamic factor model for intraday price curves | |
| dc.type | Text |
Files
Original bundle
1 - 1 of 1