TY  - GEN
AU  - Alva Chávez, Kenedy Pedro
AU  - Romo Urroz, Juan José
AU  - Ruiz Ortega, Esther
A4  - Romo Urroz, Juan José
A4  - Ruiz Ortega, Esther
PY  - 2009
SN  - 2387-0303
UR  - https://hdl.handle.net/20.500.14352/101056
AB  - We propose recent functional data analysis techniques to study the intra-daily volatility. In particular, the volatility extraction is based on functional principal components and the volatility prediction on functional AR(1) models. The estimation of...
LA  - eng
KW  - Market microstructure
KW  - Ultra-high frequency data
KW  - Functional data analysis
KW  - Functional AR(1) model
TI  - Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market
TY  - working paper
ER  -