Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
| Autor: | Flávio Augusto Ziegelmann, Eduardo Horta |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Index (economics)
Series (mathematics) Stochastic volatility Realized variance Stochastic process 05 social sciences Functional approach Probability density function 01 natural sciences 010104 statistics & probability Autocovariance 0502 economics and business Econometrics Economics 0101 mathematics Business and International Management 050205 econometrics |
| Zdroj: | International Journal of Forecasting. 34:75-88 |
| ISSN: | 0169-2070 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect