Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
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DOI: 10.1016/j.ijforecast.2017.08.001
Abstract: 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… read more here.
Keywords: financial returns; densities functional; approach applied; functional approach ... See more keywords