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Predictability of shapes of intraday price curves

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  • Piotr Kokoszka
  • Matthew Reimherr

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  • Piotr Kokoszka & Matthew Reimherr, 2013. "Predictability of shapes of intraday price curves," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 285-308, October.
    • Handle: RePEc:wly:emjrnl:v:16:y:2013:i:3:p:285-308
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    File URL: http://hdl.handle.net/10.1111/ectj.2013.16.issue-3
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    Citations

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    Cited by:

    1. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2020. "Forecasting value at risk with intra-day return curves," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1023-1038.
    2. Gregory Rice & Tony Wirjanto & Yuqian Zhao, 2020. "Tests for conditional heteroscedasticity of functional data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 733-758, November.
    3. Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
    4. Siegfried Hörmann & Łukasz Kidziński & Piotr Kokoszka, 2015. "Estimation in Functional Lagged Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 541-561, July.
    5. Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.
    6. Holger Dette & Vasyl Golosnoy & Janosch Kellermann, 2023. "The effect of intraday periodicity on realized volatility measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 315-342, April.
    7. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019. "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper 93048, University Library of Munich, Germany.
    8. Matthew Reimherr & Dan Nicolae, 2016. "Estimating Variance Components in Functional Linear Models With Applications to Genetic Heritability," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(513), pages 407-422, March.
    9. Piotr Kokoszka, 2015. "P. Secchi, S. Vantini and V. Vitelli: Analysis of spatio-temporal mobile phone data: a case study in the metropolitan area of Milan," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(2), pages 305-306, July.

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