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Modeling the distribution of financial returns by functional data analysis
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science, Statistics.
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science, Statistics.
2002 (English)Report (Other academic)
Abstract [en]

In this paper, we use functional data analysis to model a time varying unconditional distribution of financial intraday returns. This is in the spirit of the recent development of realized volatility modeling (e.g. Andersen et al, 2001), where one of the moments of this unconditional distribution, the realized volatility, is assumed to change smoothly over time. In the approach used in this paper we instead assume that the entire distribution function changes smoothly over time. This enables us to study auto- and cross dependencies of different parts of the unconditional distribution with no model assumptions but the smoothness of the distribution function. We develop a simulation based procedure for statistical inference of the model. Finally, we apply the method to the Swiss Franc-US Dollar exchange rate 1985-1991.

Place, publisher, year, edition, pages
Uppsala: Institutionen för informationsvetenskap , 2002. , p. 16
Series
Research report, ISSN 1403-7572 ; 2002:4
Identifiers
URN: urn:nbn:se:uu:diva-3517OAI: oai:DiVA.org:uu-3517DiVA, id: diva2:128790
Available from: 2003-07-04 Created: 2003-07-04

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CiteExportLink to record
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Citation style
  • apa
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  • nn-NB
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  • Other locale
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Output format
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  • asciidoc
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