Monitoring the intraday volatility pattern

R. Gabrys, Siegfried Hörmann, P. Kokoszka

Research output: Contribution to journalArticle

Abstract

A functional time series consists of curves, typically one curve per day. The most important parameter of such a series is the mean curve. We propose two methods of detecting a change in the mean function of a functional time series. The change is detected on line, as new functional observations arrive. The general methodology is motivated by, and applied to, the detection of a change in the mean intraday volatility pattern. The methodology is asymptotically justified by applying a new notion of weak dependence for functional time series. It is calibrated and validated by simulations based on real intraday volatility curves
LanguageEnglish
Pages87-116
Number of pages30
JournalJournal of Time Series Econometrics
Volume5
StatusPublished - 2013

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time series
monitoring
methodology
simulation
volatility
method
parameter
detection

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Monitoring the intraday volatility pattern. / Gabrys, R.; Hörmann, Siegfried; Kokoszka, P.

In: Journal of Time Series Econometrics, Vol. 5, 2013, p. 87-116.

Research output: Contribution to journalArticle

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