Date of Award:
5-2013
Document Type:
Dissertation
Degree Name:
Doctor of Philosophy (PhD)
Department:
Mathematics and Statistics
Committee Chair(s)
Piotr S. Kokoszka
Committee
Piotr S. Kokoszka
Committee
Daniel C. Coster
Committee
Richard D. Cutler
Committee
John R. Stevens
Committee
Lie Zhu
Abstract
Functional data analysis (FDA) has grown into a substantial field of statistical research, with new methodology, numerous useful applications and interesting novel theoretical developments. My dissertation focuses on the empirical properties of functional regression models and their application to financial data. We start from testing the empirical properties of forecasts with the functional autoregressive models based on simulated and real data. We define intraday returns and consider their prediction from such returns on a market index. This is an extension to intraday data of the Capital Asset Pricing model. Finally we investigate multifactor functional models and assess their suitability for the prediction of intraday returns for various financial assets, including stock and commodity futures.
Checksum
cdaab9bad7e97138d8349d3376c8188f
Recommended Citation
Zhang, Xi, "Empirical Properties of Functional Regression Models and Application to High-Frequency Financial Data" (2013). All Graduate Theses and Dissertations, Spring 1920 to Summer 2023. 1973.
https://digitalcommons.usu.edu/etd/1973
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