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• W2105103619 abstract "We introduce a functional volatility process for modeling volatility trajectories for high frequency observations in financial markets and describe functional representations and data-based recovery of the process from repeated observations. A study of its asymptotic properties, as the frequency of observed trades increases, is complemented by simulations and an application to the analysis of intra-day volatility patterns of the S&P 500 index. The proposed volatility model is found to be useful to identify recurring patterns of volatility and for successful prediction of future volatility, through the application of functional regression and prediction techniques." @default.
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• W2105103619 date "2011-12-01" @default.
• W2105103619 modified "2023-10-16" @default.
• W2105103619 title "Functional data analysis for volatility" @default.
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• W2105103619 doi "https://doi.org/10.1016/j.jeconom.2011.08.002" @default.
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