کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5106316 1481430 2018 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
چکیده انگلیسی
We model the stochastic evolution of the probability density functions (PDFs) of Ibovespa intraday returns over business days, in a functional time series framework. We find evidence that the dynamic structure of the PDFs reduces to a vector process lying in a two-dimensional space. Our main contributions are as follows. First, we provide further insights into the finite-dimensional decomposition of the curve process: it is shown that its evolution can be interpreted as a dynamic dispersion-symmetry shift. Second, we provide an application to realized volatility forecasting, with a forecasting ability that is comparable to those of HAR realized volatility models in the model confidence set framework.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 34, Issue 1, January–March 2018, Pages 75-88
نویسندگان
, ,