A functional version of the arch model
Hörmann, Siegfried
A functional version of the arch model created by Siegfried Hörmann, Lajos Horváth and Ron Reeder - Cambridge: Cambridge University Press, 2013 Volume 29, number 2 .
Improvements in data acquisition and processing techniques have led to an almost continuous flow of information for financial data. High-resolution tick data are available and can be quite conveniently described by a continuous-time process. It is therefore natural to ask for possible extensions of financial time series models to a functional setup. In this paper we propose a functional version of the popular autoregressive conditional heteroskedasticity model. We will establish conditions for the existence of a strictly stationary solution, derive weak dependence and moment conditions, show consistency of the estimators, and perform a small empirical study demonstrating how our model matches with real data.
02664666
Time series analysis--| Commodity exchange--Estimation theory
HB139.T52 ECO
A functional version of the arch model created by Siegfried Hörmann, Lajos Horváth and Ron Reeder - Cambridge: Cambridge University Press, 2013 Volume 29, number 2 .
Improvements in data acquisition and processing techniques have led to an almost continuous flow of information for financial data. High-resolution tick data are available and can be quite conveniently described by a continuous-time process. It is therefore natural to ask for possible extensions of financial time series models to a functional setup. In this paper we propose a functional version of the popular autoregressive conditional heteroskedasticity model. We will establish conditions for the existence of a strictly stationary solution, derive weak dependence and moment conditions, show consistency of the estimators, and perform a small empirical study demonstrating how our model matches with real data.
02664666
Time series analysis--| Commodity exchange--Estimation theory
HB139.T52 ECO